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Spatial propagation of macroeconomic shocks in Europe

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  • Hans DEWACHTER
  • Romain HOUSSA
  • Priscilla TOFFANO

Abstract

This paper develops a Spatial Vector Auto-Regressive (SpVAR) model that takes into account both the time and the spatial dimensions of economic shocks. We apply this framework to analyze the propagation through space and time of macroeconomic (inflation, output gap and interest rate) shocks in Europe. The empirical analysis identifies an economically and statistically significant spatial component in the transmission of macroeconomic shocks in Europe.

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File URL: http://www.econ.kuleuven.be/eng/ew/discussionpapers/Dps10/Dps1012.pdf
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Bibliographic Info

Paper provided by Katholieke Universiteit Leuven, Centrum voor Economische Studiën in its series Center for Economic Studies - Discussion papers with number ces10.12.

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Date of creation: Apr 2010
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Handle: RePEc:ete:ceswps:ces10.12

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Keywords: Macroeconomics; Spatial Models; VAR;

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Cited by:
  1. Julian Ramajo & Miguel A. Marquez & Geoffrey J.D. Hewings, 2013. "Spatio-temporal Analysis of Regional Systems: A Multiregional Spatial Vector Autoregressive Model for Spain," ERSA conference papers ersa13p159, European Regional Science Association.

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