Spatial propagation of macroeconomic shocks in Europe

Hans Dewachter, Romain Houssa and C. Priscilla Toffano

Working Papers of Department of Economics, Leuven from KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven

Abstract: This paper develops a Spatial Vector Auto-Regressive (SpVAR) model that takes into account both the time and the spatial dimensions of economic shocks. We apply this framework to analyze the propagation through space and time of macroeconomic (inflation, output gap and interest rate) shocks in Europe. The empirical analysis identifies an economically and statistically significant spatial component in the transmission of macroeconomic shocks in Europe.

Keywords: Macroeconomics; Spatial Models; VAR (search for similar items in EconPapers)
JEL-codes: C33 C51 E3 E43 E52 (search for similar items in EconPapers)
Date: 2010-04
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-geo, nep-mac, nep-opm and nep-ure
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Spatial propagation of macroeconomic shocks in Europe (2012)
Working Paper: Spatial Propagation of Macroeconomic Shocks in Europe (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:ete:ceswps:ces10.12

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