Heterogeneity and Cross-Country Spillovers in Macroeconomic-Financial Linkages

47 Pages Posted: 15 Dec 2012

See all articles by Matteo Ciccarelli

Matteo Ciccarelli

European Central Bank (ECB)

Eva Ortega

Bank of Spain, DG Economics, Statistics and Research

Maria Teresa Valderrama

Österreichische Nationalbank - Department of Economics

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Date Written: November 20, 2012

Abstract

We investigate heterogeneity and spillovers in macro-financial linkages across developed economies, with a particular emphasis in the most recent recession. A panel Bayesian VAR model including real and financial variables identifies a statistically significant common component, which turns out 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.

Keywords: financial crisis, macro-financial linkages, panel VAR models

JEL Classification: C11, C33, E32, F44

Suggested Citation

Ciccarelli, Matteo and Ortega, Eva and Valderrama, Maria Teresa, Heterogeneity and Cross-Country Spillovers in Macroeconomic-Financial Linkages (November 20, 2012). ECB Working Paper No. 1498, Available at SSRN: https://ssrn.com/abstract=2178385

Matteo Ciccarelli (Contact Author)

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Eva Ortega

Bank of Spain, DG Economics, Statistics and Research ( email )

Alcala 50
Madrid, 28014
Spain

HOME PAGE: http://https://www.bde.es/investigador/en/menu/people/research_staff_a/Ortega_Eslava__Eva.html

Maria Teresa Valderrama

Österreichische Nationalbank - Department of Economics ( email )

Vienna, 1010
Austria

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