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Together in bad times: connectedness and spillovers in recession and boom

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Together in bad times : connectedness and spillovers in recession and boom. / Miescu, Mirela.

In: Manchester School, Vol. 87, No. 3, 30.06.2019, p. 342-366.

Research output: Contribution to Journal/MagazineJournal articlepeer-review

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Miescu M. Together in bad times: connectedness and spillovers in recession and boom. Manchester School. 2019 Jun 30;87(3):342-366. Epub 2019 Apr 10. doi: 10.1111/manc.12232

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Miescu, Mirela. / Together in bad times : connectedness and spillovers in recession and boom. In: Manchester School. 2019 ; Vol. 87, No. 3. pp. 342-366.

Bibtex

@article{e7864e6c0ee54852bb3b979ccc21330f,
title = "Together in bad times: connectedness and spillovers in recession and boom",
abstract = "Is connectedness across countries dependent on the state of the economy? We answer this question by applying the Diebold‐Yilmaz index in a non‐linear framework. Via a Threshold VAR model, we measure the connectedness of industrial production, inflation and financial variables for seven advanced economies. We find that global connectedness is sizable and business cycle dependent. Specifically, our results suggest that higher values are recorded during recessions. Financial and nominal connectedness display different dynamics relative to the connectedness in industrial production. We also show that negative shocks cause a bigger increase in global connectedness compared to their positive counterparts. In addition, while Europe appears to be vulnerable to shocks originated in USA and Japan, the US is unaffected by shocks occurring elsewhere. Results are robust to an alternative state‐dependent modelling of the parameters and our model fit outperforms both the linear VAR and the Smooth Transition VAR.",
author = "Mirela Miescu",
year = "2019",
month = jun,
day = "30",
doi = "10.1111/manc.12232",
language = "English",
volume = "87",
pages = "342--366",
journal = "Manchester School",
issn = "1463-6786",
publisher = "Wiley-Blackwell",
number = "3",

}

RIS

TY - JOUR

T1 - Together in bad times

T2 - connectedness and spillovers in recession and boom

AU - Miescu, Mirela

PY - 2019/6/30

Y1 - 2019/6/30

N2 - Is connectedness across countries dependent on the state of the economy? We answer this question by applying the Diebold‐Yilmaz index in a non‐linear framework. Via a Threshold VAR model, we measure the connectedness of industrial production, inflation and financial variables for seven advanced economies. We find that global connectedness is sizable and business cycle dependent. Specifically, our results suggest that higher values are recorded during recessions. Financial and nominal connectedness display different dynamics relative to the connectedness in industrial production. We also show that negative shocks cause a bigger increase in global connectedness compared to their positive counterparts. In addition, while Europe appears to be vulnerable to shocks originated in USA and Japan, the US is unaffected by shocks occurring elsewhere. Results are robust to an alternative state‐dependent modelling of the parameters and our model fit outperforms both the linear VAR and the Smooth Transition VAR.

AB - Is connectedness across countries dependent on the state of the economy? We answer this question by applying the Diebold‐Yilmaz index in a non‐linear framework. Via a Threshold VAR model, we measure the connectedness of industrial production, inflation and financial variables for seven advanced economies. We find that global connectedness is sizable and business cycle dependent. Specifically, our results suggest that higher values are recorded during recessions. Financial and nominal connectedness display different dynamics relative to the connectedness in industrial production. We also show that negative shocks cause a bigger increase in global connectedness compared to their positive counterparts. In addition, while Europe appears to be vulnerable to shocks originated in USA and Japan, the US is unaffected by shocks occurring elsewhere. Results are robust to an alternative state‐dependent modelling of the parameters and our model fit outperforms both the linear VAR and the Smooth Transition VAR.

U2 - 10.1111/manc.12232

DO - 10.1111/manc.12232

M3 - Journal article

VL - 87

SP - 342

EP - 366

JO - Manchester School

JF - Manchester School

SN - 1463-6786

IS - 3

ER -