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Heterogeneity and cross-country spillovers in macroeconomic-financial linkages

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  • Matteo Ciccarelli

    ()
    (European Central Bank)

  • Eva Ortega

    ()
    (Banco de España)

  • Maria Teresa Valderrama

    (Oesterreichische Nationalbank)

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, 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

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Bibliographic Info

Paper provided by Banco de Espa�a in its series Banco de Espa�a Working Papers with number 1241.

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Length: 48 pages
Date of creation: Dec 2012
Date of revision:
Handle: RePEc:bde:wpaper:1241

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

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References

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  1. Fabio Canova & Matteo Ciccarelli, 2011. "ClubMed Cyclical Fluctuations in the Mediterranean Basin," Working Papers 532, Barcelona Graduate School of Economics.
  2. Fabio Canova & Matteo Ciccarelli, 2009. "Estimating Multicountry Var Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 50(3), pages 929-959, 08.
  3. Fabio Canova & Matteo Ciccarelli & Eva Ortega, 2003. "Similarities and convergence in G-7 cycles," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra 924, Department of Economics and Business, Universitat Pompeu Fabra, revised Aug 2004.
  4. Mario J. Crucini & M. Ayhan Kose & Christopher Otrok, 2008. "What Are the Driving Forces of International Business Cycles?," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics 0815, Vanderbilt University Department of Economics.
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  6. Domenico Giannone & Michèle Lenza & Lucrezia Reichlin, 2012. "Money, Credit, Monetary Policy and the Business Cycle in the Euro Area," Working Papers ECARES, ULB -- Universite Libre de Bruxelles ECARES 2012-008, ULB -- Universite Libre de Bruxelles.
  7. Philip R. Lane & Gian Maria Milesi-Ferretti, 2006. "The External Wealth of Nations Mark II: Revised and Extended Estimates of Foreign Assets and Liabilities,1970–2004," The Institute for International Integration Studies Discussion Paper Series, IIIS iiisdp126, IIIS.
  8. Hideaki Hirata & M. Ayhan Kose & Christopher Otrok, 2013. "Regionalization vs. Globalization," IMF Working Papers 13/19, International Monetary Fund.
  9. Fabio Canova & Matteo Ciccarelli & Eva Ortega, 2009. "Do institutional changes affect business cycles? Evidence from Europe," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra 1158, Department of Economics and Business, Universitat Pompeu Fabra, revised Apr 2012.
  10. Pesaran, M. H. & Shin, Y., 1997. "Generalised Impulse Response Analysis in Linear Multivariate Models," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 9710, Faculty of Economics, University of Cambridge.
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  12. Ciccarelli, Matteo & Peydró, José-Luis & Maddaloni, Angela, 2010. "Trusting the bankers: a new look at the credit channel of monetary policy," Working Paper Series, European Central Bank 1228, European Central Bank.
  13. Michael Biggs & Thomas Mayer & Andreas Pick, 2009. "Credit and economic recovery," DNB Working Papers, Netherlands Central Bank, Research Department 218, Netherlands Central Bank, Research Department.
  14. Sargent, Thomas J, 1989. "Two Models of Measurements and the Investment Accelerator," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 97(2), pages 251-87, April.
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Cited by:
  1. Eickmeier, Sandra & Marcellino, Massimiliano & Prieto, Esteban, 2013. "Time Variation in Macro-Financial Linkages," CEPR Discussion Papers, C.E.P.R. Discussion Papers 9436, C.E.P.R. Discussion Papers.
  2. Canova, Fabio & Ciccarelli, Matteo, 2013. "Panel vector autoregressive models: a survey," Working Paper Series, European Central Bank 1507, European Central Bank.

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