EconPapers    
Economics at your fingertips  
 

Measuring the Connectedness of the Global Economy

Matthew Greenwood-Nimmo, Viet Hoang Nguyen and Yongcheol Shin ()

International Journal of Forecasting, 2021, vol. 37, issue 2, 899-919

Abstract: We develop a technique to exploit forecast error variance decompositions to evaluate the macroeconomic connectedness embedded in any multi-country macroeconomic model with an approximate vector autoregressive (VAR) representation. We apply our technique to a large global VAR model covering 25 countries and derive vivid representations of macroeconomic connectedness. We find that the US exerts a dominant influence in the global economy and that Brazil, China, and the Eurozone are also globally significant. Recursive analysis over the period of the global financial crisis shows that shocks to global equity markets are transmitted rapidly and forcefully to real trade flows and real GDP.

Keywords: Generalised Connectedness Measures (GCMs); International linkages; Network analysis; Macroeconomic connectedness; Forecast error variance decomposition (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0169207020301576
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:37:y:2021:i:2:p:899-919

DOI: 10.1016/j.ijforecast.2020.10.003

Access Statistics for this article

International Journal of Forecasting is currently edited by R. J. Hyndman

More articles in International Journal of Forecasting from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2022-07-25
Handle: RePEc:eee:intfor:v:37:y:2021:i:2:p:899-919