Series: Working Papers. 1241.
Author: Matteo Ciccarelli, Eva Ortega and Maria Teresa Valderrama.
Published as: “Commonalities and cross-country spillovers in macroeconomic-financial linkages”. The B.E. Journal of Macroeconomics, 2016. Vol. 16(1), pp. 231–275
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Abstract
We investigate heterogeneity and spillovers in macro-financial linkages across developed economies, with a particular emphasis on the most recent recession. A panel Bayesian VAR model including real and financial variables identifi es a statistically significant common component, which proves 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.