Yilmaz, Kamil - Society for Economic Dynamics - SED - 2009
We apply Diebold-Yilmaz spillover index methodology to monthly industrial production indices to study business cycle … interdependence among G-6 countries. We show evidence that business cycle spillovers fluctuate substantially over time, increasing …, the business cycle spillover index recorded the sharpest increase ever and reached a record level as of December 2008, an …