Spatial propagation of macroeconomic shocks in Europe

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.

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Year of publication:	2010-04
Authors:	DEWACHTER, Hans ; HOUSSA, Romain ; TOFFANO, Priscilla
Institutions:	Centrum voor Economische Studiën, Faculteit Economie en Bedrijfswetenschappen
Subject:	Macroeconomics \| Spatial Models \| VAR

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Series:	Center for Economic Studies - Discussion papers.
Type of publication:	Book / Working Paper
Language:	English
Classification:	E3 - Prices, Business Fluctuations, and Cycles ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; E52 - Monetary Policy (Targets, Instruments, and Effects) ; C51 - Model Construction and Estimation ; C33 - Models with Panel Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008516200