| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP7966
|
| DP7966 International Business Cycle Spillovers |
| Kamil Yilmaz
|
| 发表日期 | 2010-08-08
|
| 出版年 | 2010
|
| 语种 | 英语
|
| 摘要 | This paper studies business cycle interdependence among the industrialized countries since 1958. Using the spillover index methodology recently proposed by Diebold and Yilmaz (2009) and based on the generalized VAR framework, I develop an alternative measure of comovement of macroeconomic aggregates across countries. I have several important results. First, the spillover index fluctuates over time, increasing substantially following the post-1973 U.S. recessions. Secondly, the band within which the spillover index fluctuates follows an upward trend since the start of the globalization process in the early 1990s. Thirdly, the spillover index recorded the sharpest increase ever following the peak of the global financial crisis in September 2008, reaching a record level as of December 2008 (See
http://data.economicresearchforum.org/erf/bcspill.aspx?lang=en for updates of the spillover plot). I also derive measures of directional spillovers and show that the U.S. (1980s and 2000s) and Japan (1970s and 2000s) are major transmitters of shocks to other countries. Finally, during the 2008-2009 global recession shocks mostly originated from the United States and spread to other industrialized countries. |
| 主题 | International Macroeconomics
|
| 关键词 | Business cycles
Spillovers
Industrial production
Vector autoregression
Variance decomposition
Unit roots
Cointegration
|
| URL | https://cepr.org/publications/dp7966
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536803
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推荐引用方式
GB/T 7714 |
Kamil Yilmaz. DP7966 International Business Cycle Spillovers. 2010.
|
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