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Spatial propagation of macroeconomic shocks in Europe

  • Hans DEWACHTER
  • Romain HOUSSA
  • Priscilla TOFFANO

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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Paper provided by KU Leuven, Faculty of Economics and Business, Department of Economics in its series Working Papers Department of Economics with number ces10.12.

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Date of creation: Apr 2010
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Handle: RePEc:ete:ceswps:ces10.12
Contact details of provider: Web page: http://feb.kuleuven.be/Economics/

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