Quotation Antonakakis, Nikolaos, Badinger, Harald. 2012. International Spillovers of Output Growth and Output Growth Volatility: Evidence from the G7. International Economic Journal 26 (4): 635-653.


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Abstract

This paper examines the transmission of GDP growth and GDP growth volatility among the G7 countries over the period 1960Q1-2010Q4, using a multivariate GARCH model and volatility impulse response functions (VIRFs) to identify the source, magnitude and the duration of volatility spillovers. Results indicate the presence of positive own-country GDP growth spillovers in each country and cross-country GDP growth spillovers among most of the G7 countries. In addition, the large number of significant own-country output growth volatility spillovers and cross-country output growth volatility spillovers indicates that output growth shocks in most of the G7 countries affect output growth volatility in the other remaining countries. An additional finding is that the duration of output growth volatility spillovers has increased over time from some seven quarters in the 1970s to some ten quarters during the recent crisis, which is likely to be due to the increased integration of goods and financial markets.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal International Economic Journal
Language English
Title International Spillovers of Output Growth and Output Growth Volatility: Evidence from the G7
Volume 26
Number 4
Year 2012
Page from 635
Page to 653
Reviewed? Y
URL http://www.tandfonline.com/doi/abs/10.1080/10168737.2011.631025#.UlkyUxB0Kzg

Associations

People
Antonakakis, Nikolaos (Former researcher)
Badinger, Harald (Details)
Organization
Institute for International Economics IN (Details)
Research Institute for European Affairs FI (Details)
Department of Economics DP (Details)
Research areas (Ă–STAT Classification 'Statistik Austria')
5300 Economics (Details)
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