Cross-Country Linkages in Europe: A Global VAR Analysis

September 11, 2013

Preview Citation

Format: Chicago

Yan M Sun, Frigyes F Heinz, and Giang Ho. Cross-Country Linkages in Europe: A Global VAR Analysis, (USA: International Monetary Fund, 2013) accessed November 21, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

This paper uses the Global VAR (GVAR) model proposed by Pesaran et al. (2004) to study cross-country linkages among euro area countries, other advanced European countries (including the Nordics, the UK, etc.), and the Central, Eastern and Southeastern European (CESEE) countries. An innovative feature of the paper is the use of combined trade and financial weights (based on BIS reporting banks’ external position data) to capture the very close trade and financial ties of the CESEE countries with the advanced Europe countries. The results show strong co-movements in output growth and interest rates but weaker linkages bewteen inflation and real credit growth within Europe. While the euro area is the dominant source of economic influences, there are also interesting subregional linkages, e.g. between the Nordic and the Baltic countries, and a small but notable impact of CESEE countries on the rest of the Europe.

Subject: Credit, Econometric analysis, Financial services, Inflation, Long term interest rates, Money, Prices, Production, Production growth, Vector autoregression

Keywords: Baltics, CESEE country, Country sample, Country VAR, Credit, Emerging Europe, Europe, Global, Global VAR, Growth rate, Inflation, Ith economy, Long term interest rates, Macro-financial linkages, Nordic country, Production growth, Real GDP, Regional model, Spillover, VAR model, Vector autoregression, Western Europe, WP

Publication Details

Pages:

74
Volume:

---
DOI:

---
Issue:

---
Series:

Working Paper No. 2013/194
Stock No:

WPIEA2013194
ISBN:

9781484345474
ISSN:

1018-5941

FACTSHEETS

RESOURCES

TOPICS

Flagship Publications

Other Publications

IMF reports and publications by country

Regional Offices

All News

See Also

For Journalists

Press Center

RESOURCES

FLAGSHIPS

KEY SERIES

IMF NOTES

IMF Working Papers