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Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
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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 -