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Economic growth, volatility, and cross-country spillovers: New evidence for the G7 countries

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  • Antonakakis, N.
  • Badinger, H.

Abstract

This study examines the linkages between output growth and output volatility in the G7 countries over the period 1958M2–2013M8. Using the VAR-based spillover index approach by Diebold and Yilmaz (2012) we find that: i) output growth and volatility are highly intertwined; ii) spillovers have reached unprecedented levels during the global financial crisis; and iii) the US has been the largest transmitter of growth and volatility shocks. Generalized impulse response analyses suggest moderate growth spillovers and sizable volatility spillovers across countries. Cross-variable effects indicate that volatility shocks lead to lower growth, while growth shocks reduce output volatility.

Suggested Citation

  • Antonakakis, N. & Badinger, H., 2016. "Economic growth, volatility, and cross-country spillovers: New evidence for the G7 countries," Economic Modelling, Elsevier, vol. 52(PB), pages 352-365.
  • Handle: RePEc:eee:ecmode:v:52:y:2016:i:pb:p:352-365
    DOI: 10.1016/j.econmod.2015.08.035
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