Economic growth, volatility, and cross-country spillovers: New evidence for the G7 countries

Nikolaos Antonakakis and Harald Badinger

Economic Modelling, 2016, vol. 52, issue PB, 352-365

Abstract: This study examines the linkages between output growth and output volatility in the G7 countries over the period 1958M2–2013M8. Using the VAR-based spillover index approach by Diebold and Yilmaz (2012) we find that: i) output growth and volatility are highly intertwined; ii) spillovers have reached unprecedented levels during the global financial crisis; and iii) the US has been the largest transmitter of growth and volatility shocks. Generalized impulse response analyses suggest moderate growth spillovers and sizable volatility spillovers across countries. Cross-variable effects indicate that volatility shocks lead to lower growth, while growth shocks reduce output volatility.

Keywords: Output growth; Output growth volatility; Spillover; Vector autoregression; Variance decomposition; Impulse response (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (31)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:52:y:2016:i:pb:p:352-365

DOI: 10.1016/j.econmod.2015.08.035

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