Heterogeneity and cross-country spillovers in macroeconomic-financial linkages

Matteo Ciccarelli, Eva Ortega and Maria Valderrama ()

No 1241, Working Papers from Banco de España

Abstract: We investigate heterogeneity and spillovers in macro-financial linkages across developed economies, with a particular emphasis on the most recent recession. A panel Bayesian VAR model including real and financial variables identifies a statistically significant common component, which proves to be very significant during the most recent recession. Nevertheless, countryspecific factors remain important, which explains the heterogeneous behaviour across countries observed over time. Moreover, spillovers across countries and between real and financial variables are found to matter: a shock to a variable in a given country affects all other countries, and the transmission seems to be faster and deeper between financial variables than between real variables. Finally, shocks spill over in a heterogeneous way across countries

Keywords: financial crisis; macro-financial linkages; panel VAR models (search for similar items in EconPapers)
JEL-codes: C11 C33 E32 F44 (search for similar items in EconPapers)
Pages: 48 pages
Date: 2012-12
New Economics Papers: this item is included in nep-ban, nep-ifn and nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21)

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Related works:
Working Paper: Heterogeneity and cross-country spillovers in macroeconomic-financial linkages (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:1241

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