Heterogeneity and Cross-Country Spillovers in Macroeconomic-Financial Linkages

48 Pages Posted: 23 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

Multiple version iconThere are 2 versions of this paper

Date Written: December 21, 2012

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 identifies a statistically significant common component, which proves to be very significant during the most recent recession. Nevertheless, country-specific 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 (December 21, 2012). Banco de Espana Working Paper No. 1241, Available at SSRN: https://ssrn.com/abstract=2192417 or http://dx.doi.org/10.2139/ssrn.2192417

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

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
91
Abstract Views
1,046
rank
294,643
PlumX Metrics