Spatial propagation of macroeconomic shocks in Europe

Dewachter, Hans; Houssa, Romain; Toffano, Priscilla

doi:10.1007/s10290-012-0118-1

Cited by 9 publications

(6 citation statements)

References 39 publications

(40 reference statements)

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“…The SpVAR model used in Dewachter et al. () to analyse the propagation through space and time of macroeconomic shocks in Europe is a restricted version of this type of global model.…”

Section: Spatial Vector Autoregressive (Spvar) Models: a Brief Reviewmentioning

confidence: 99%

Regional growth and spatial spillovers: Evidence from an SpVAR for the Spanish regions

Márquez

Hewings

2015

Papers in Regional Science

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This paper provides a spatial vector autoregressive (SpVAR) analysis of growth spillovers for the Spanish regions over the period . First, a spatial Granger causality analysis is performed that indicates the relevant impact of spatial spillover effects across regions in Spain. Second, the empirical research offers a contribution in the context of the SpVAR modelling estimating the push-in (from the neighbours to the region) and push-out (from the region to its neighbours) effects of growth spillovers within a regional economic system. Finally, the proposed methodology reveals empirical evidence about both the short-run and long-term regional growth adjustment processes in space and time. The results for the Spanish regional panel data suggest the existence of strong spatiotemporal regional spillovers of growth output. This has important implications for the choice of regional policy goals and regional policy instruments.JEL classification: C32, E6, H54, R58 * The comments of the participants of the EU-REAL/WIFO Workshop 'European Integration and Regional Modelling' (Vienna 2010) and the EU-REAL (CRENoS/University of Sassari Workshop 'Economic Development in Peripheral Regions' (Sardinia 2011) are greatly appreciated. The comments and suggestions of Jesús Crespo, Peter Huber and Enrique López-Bazo are particularly appreciated. The authors acknowledge the funding received from the Ministry of Science and Innovation of Spain through the project ECO2009-12506. The usual disclaimer applies.

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“…The SpVAR model used in Dewachter et al. () to analyse the propagation through space and time of macroeconomic shocks in Europe is a restricted version of this type of global model.…”

Section: Spatial Vector Autoregressive (Spvar) Models: a Brief Reviewmentioning

confidence: 99%

Regional growth and spatial spillovers: Evidence from an SpVAR for the Spanish regions

Márquez

Hewings

2015

Papers in Regional Science

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“…In a recent paper, Dewachter et al (2012) propose a spatial macroeconomic model for eleven European countries over the period 1981-2008. They document that major macroeconomic variables including inflation, output gap and interest rate are interrelated across countries and a shock that occurs in a particular country transmits to nearby countries.…”

Section: Introductionmentioning

confidence: 99%

On the Link between Volatility and Growth: A Spatial Econometrics Approach

Abate¹

2015

Spatial Economic Analysis

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This paper examines the link between macro volatility and economic growth in the lens of spatial econometrics. We present an unconstrained spatial Durbin Ramey-Ramey model. We test the extended model in a panel of 78 countries to investigate all the possible dimensions along which spatial interactions can affect the link between macro volatility and growth. In contrast to previous literature, we split the effects of volatility on growth into direct and indirect effects using partial derivative impacts approach. We found that both the direct and indirect effects of volatility on growth are negative; the latter effect suggesting the transmission of volatility shocks to neighbouring countries. Growth rates observed in neighbouring countries has a positive effect on growth rate of a particular country.Du lien entre volatilité et croissance: une méthode d'économétrie spatiale RÉSUMÉ la présente communication examine le lien entre la macro-volatilité et la croissance économique dans l'optique de l'économétrie spatiale. Nous présentons un modèle spatial sans contrainte de Durbin Ramey-Ramey. Nous soumettons le modèle élargi à un groupe de 78 pays pour examiner toutes les dimensions possibles conjointement avec des interactions spatiales pouvant affecter le lien entre la macrovolatilité et la croissance. Contrairement à des recherches précédentes, nous subdivisons les effets de la volatilité sur la croissance entre effets directs et indirects, en adoptant une méthode d'impacts à dérivée partielle. Nous relevons que les effets tant directs qu'indirects de la volatilité sur la croissance sont négatifs, dans le deuxième cas, l'effet pouvant indiquer une transmission de chocs de volatilité à des pays avoisinants. Les taux de croissance observés dans des pays voisins a un effet positif sur le taux de croissance d'un certain pays.Sobre la interrelación entre la volatilidad y el crecimiento: un enfoque econométrico espacial RESUMEN este estudio analiza la interrelación entre la macrovolatilidad y el crecimiento económico bajo una perspectiva econométrica espacial. Presentamos un modelo espacial no limitado de Durbin Ramey-Ramey. Probamos el modelo ampliado en un panel de 78 países para investigar todas las dimensiones posibles junto con las interacciones espaciales que pueden afectar la interrelación entre la macrovolatilidad y el crecimiento. En contraste con los estudios anteriores, dividimos los efectos de la volatilidad sobre el crecimiento en efectos directos e indirectos utilizando el enfoque de los efectos derivados parciales. Hemos encontrado que los efectos directos e indirectos de la volatilidad sobre el crecimiento son negativos y en el caso de los indirectos, se sugiere que la transmisión de la volatilidad afecta a los países vecinos. Las tasas de crecimiento observadas en los países vecinos tienen un efecto sobre la tasa de crecimiento de un país en particular. 波动性与增长的关联：一个空间计量经济学方法摘要：本文从计量经济学的视角审视了宏观波动性与经济增长之间的关联。我们提出了一个无约束空间 Durbin Ramey-Ramey 模型。我们在 78 个国家进行了这项扩展模型试验，以调查所有可能对宏观波动性与增长之间的关联产生影响的空间交互作用维度。与以往的文...

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“…Finally, the SpVAR model used in Dewachter, Houssa, and Toffano (2012) is (like our proposal) a restricted version of the global vector autoregressive (GVAR) models introduced by Pesaran, Schuermann, and Weiner (2004) and Dees et al (2007). Instead of assuming unit-specific spatial lag parameters, as in the GVAR specification, they impose an identical spatial lag structure, making their approach more restricted than ours.…”

Section: Introductionmentioning

confidence: 98%

“…As a result, a new class of spatial VAR (SpVAR) models has recently appeared in the spatial econometrics literature (see, e.g., Beenstock and Felsenstein 2007;Canova and Ciccarelli 2009;Di Giacinto 2010;Dewachter, Houssa, and Toffano 2012;Márquez, Ramajo, and Hewings 2010, 2013, 2014a. SpVARs are a general type of multivariate vector autoregressions that include spatial as well as temporal lags of the state variables.…”

Section: Introductionmentioning

confidence: 99%

Spatiotemporal Analysis of Regional Systems

Hernández

Hewings

2016

International Regional Science Review

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This article contributes to the recent literature in spatial econometrics that focuses on space-time data modeling implementing a multilocation time-series statistical framework to analyze a regional system. Drawing on the global vector autoregression approach introduced in Pesaran, Schuermann, and Weiner, a multiregional spatial vector autoregressive (MultiREG-SpVAR) model is formulated and then applied to study the spatiotemporal transmission of macroeconomic shocks across the regions in Spain. The empirical application analyzes the extent to which a region's economic output growth is influenced by the growth of its neighbors (push-in or inward growth effect), and also investigates the relevance of spillovers derived from temporary region specific output growth shocks (push-out or outward growth effect). Our results identify some regions that perform as ''growth generators'' within the Spanish regional system since growth shocks from these regions spillover to a large number of regions of the country, playing a key role in the transmission of regional business cycles. The policy implications of our results suggest that national and/or regional governments should stimulate economic activity in these leading regions in order to enhance the economic recovery process of the whole Spanish economy.

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Spatial propagation of macroeconomic shocks in Europe

Cited by 9 publications

References 39 publications

Regional growth and spatial spillovers: Evidence from an SpVAR for the Spanish regions

Regional growth and spatial spillovers: Evidence from an SpVAR for the Spanish regions

On the Link between Volatility and Growth: A Spatial Econometrics Approach

Spatiotemporal Analysis of Regional Systems

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