Globalization and international business cycle dynamics: A conditional GVAR approach

Michael Binder and Christian Offermanns

No 2014/24, Discussion Papers from Free University Berlin, School of Business & Economics

Abstract: We examine the effects of increased international integration of both goods and financial markets on business cycle dynamics. To do so, we develop a new econometric framework for modelling cross-country spillovers in which the magnitude of these spillovers is an empirically determined function of the degree of a country's integration with international goods and financial markets. Our results suggest that the magnitude of cross-country spillovers for most country pairs has been increasing with strengthened goods and financial markets integration.

Keywords: business cycle dynamics; international goods and financial market integration; dynamic panel data models; global VAR model (search for similar items in EconPapers)
JEL-codes: C33 E32 F41 (search for similar items in EconPapers)
Date: 2014
New Economics Papers: this item is included in nep-ifn, nep-mac and nep-opm
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:fubsbe:201424

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