Heterogeneity and cross-country spillovers in macroeconomic-financial linkages

Matteo Ciccarelli, Eva Ortega and Maria Valderrama ()

No 1498, Working Paper Series from European Central Bank

Abstract: We investigate heterogeneity and spillovers in macro-financial linkages across developed economies, with a particular emphasis in the most recent recession. A panel Bayesian VAR model including real and financial variables identifies a statistically significant common component, which turns out 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. JEL Classification: C11, C33, E32, F44

Keywords: financial crisis; macro-financial linkages; panel VAR models (search for similar items in EconPapers)
Date: 2012-11
Note: 224580
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (26)

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Working Paper: Heterogeneity and cross-country spillovers in macroeconomic-financial linkages (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20121498

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