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Spatial Propagation of Macroeconomic Shocks in Europe

  • Romain Houssa

    ()

    (Center for Research in the Economics of Development, University of Namur)

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.fundp.ac.be/eco/economie/recherche/wpseries/wp/1009.pdf
File Function: First version, 2010
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Paper provided by University of Namur, Department of Economics in its series Working Papers with number 1009.

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Length: 32 pages
Date of creation: Apr 2010
Date of revision:
Handle: RePEc:nam:wpaper:1009
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  16. Ryan R. Brady, 2011. "Measuring the diffusion of housing prices across space and over time," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(2), pages 213-231, March.
  17. Théophile Azomahou & Claude Diebolt & Tapas Mishra, 2007. "Spatial Persistence of Demographic Shocks and Economic Growth," Working Papers 07-04, Association Française de Cliométrie (AFC).
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