Cross-country connectedness in inflation and unemployment: measurement and macroeconomic consequences

Binh Thai Pham () and Hector Sala
Additional contact information
Binh Thai Pham: University of Economics Ho Chi Minh City

Empirical Economics, 2022, vol. 62, issue 3, No 7, 1123-1146

Abstract: Abstract We bring the notion of connectedness (Diebold and Yilmaz, Int J Forecast 28(1):57–66 2012) to a set of two critical macroeconomic variables as inflation and unemployment. We focus on the G7 economies plus Spain, and use monthly data—high-frequency data in a macro setting—to explore the extent and consequences of total and directional volatility spillovers across variables and countries. We find that total connectedness is larger for prices (58.28%) than for unemployment (41.81%). We also identify asymmetries per country that result in higher short-run Phillips curve trade-offs in recessions and lower trade-offs in expansions. Besides, by exploring time-varying connectedness (resulting from country-specific shocks), we find that volatility spillovers magnify in periods of common economic turmoil such as the Global Financial Crisis. Our results call for an enhancement of international macroeconomic policy coordination.

Keywords: Country-specific shocks; Connectedness; Philips curve; G7; Common shocks; C32; C50; E24; F41; F42 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://link.springer.com/10.1007/s00181-021-02052-0 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
Working Paper: Cross-Country Connectedness in Inflation and Unemployment: Measurement and Macroeconomic Consequences (2021)
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:spr:empeco:v:62:y:2022:i:3:d:10.1007_s00181-021-02052-0

Ordering information: This journal article can be ordered from
http://www.springer. ... rics/journal/181/PS2

DOI: 10.1007/s00181-021-02052-0

Access Statistics for this article

Empirical Economics is currently edited by Robert M. Kunst, Arthur H.O. van Soest, Bertrand Candelon, Subal C. Kumbhakar and Joakim Westerlund

More articles in Empirical Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().