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Foreign Entanglements: Estimating the Source and Size of Spillovers Across Industrial Countries

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  • Tamim Bayoumi
  • Andrew Swiston

Abstract

Vector autoregressions of real growth since 1970 are used to estimate spillovers between the United States, the euro area, Japan, and an aggregate of smaller countries proxying for global shocks. U.S. and global shocks generate significant spillovers, but those from the euro area and Japan are small. This paper calculates the standard errors of impulse-response functions, including uncertainty over the proper Cholesky ordering. Extensions adding exports, commodity prices, and financial variables indicate that financial effects are the largest source of spillovers. The results by subperiod underline the importance of the great moderation in U.S. output fluctuations and associated financial stability in lowering output volatility elsewhere. IMF Staff Papers (2009) 56, 353–383. doi:10.1057/imfsp.2008.23; published online 9 September 2008

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Bibliographic Info

Article provided by Palgrave Macmillan in its journal IMF Staff Papers.

Volume (Year): 56 (2009)
Issue (Month): 2 (June)
Pages: 353-383

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Handle: RePEc:pal:imfstp:v:56:y:2009:i:2:p:353-383

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Cited by:
  1. Linda S. Goldberg, 2013. "Banking Globalization, Transmission, and Monetary Policy Autonomy," NBER Working Papers 19497, National Bureau of Economic Research, Inc.
  2. International Monetary Fund, 2009. "Adding Latin America to the Global Projection Model," IMF Working Papers, International Monetary Fund 09/85, International Monetary Fund.
  3. Yan Sun, 2011. "From West to East," IMF Working Papers, International Monetary Fund 11/120, International Monetary Fund.
  4. Tamim Bayoumi & Trung Bui, 2012. "Global Bonding," IMF Working Papers, International Monetary Fund 12/298, International Monetary Fund.
  5. Österholm, Pär & Stockhammar, Pär, 2014. "The Euro Crisis and Swedish GDP Growth — A Study of Spillovers," Working Paper, National Institute of Economic Research 134, National Institute of Economic Research.
  6. Denise R Osborn & Tugrul Vehbi, 2013. "Empirical Evidence on Growth Spillovers from China to New Zealand," Treasury Working Paper Series 13/17, New Zealand Treasury.

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