 Quantifying spillovers among regionsDeborah Gefang, Stephen Hall, George Tavlas and Yongli Wang Journal of International Money and Finance, 2024, vol. 140, issue C Abstract: The standard procedure for quantifying spillover effects of changes in economic fundamentals among separate regions (or countries) is to link the regions through predetermined weights – for example through fixed weighted trade indices or fixed spatial weights based on geographical distance. We provide a method for quantifying spillover effects among the U.S., the euro area, and the U.K. using spatial weights that are determined endogenously. We specify a new spatially augmented VAR model and we introduce a Bayesian estimation technique to freely estimate and quantify spatial interactions. We are able to quantify the effects of shocks to economic fundamentals in the three regions considered without imposing a priori restrictions on the size and directions of the spillovers. To illustrate our technique, we quantify the spillover effects of a series of shocks, including the recent rises in inflation and money supply shocks, in each of the three regions under consideration on the other regions. Keywords: Spillovers inflation transmission; Spatial (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:140:y:2024:i:c:s0261560623001948 DOI: 10.1016/j.jimonfin.2023.102993 Access Statistics for this article Journal of International Money and Finance is currently edited by J. R. Lothian More articles in Journal of International Money and Finance from Elsevier |
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