Cross-Country Linkages in Europe : A Global VAR Analysis / Yan Sun, Frigyes Heinz, Giang Ho.

Format:

Book

Government document

Author/Creator:

Sun, Yan.

Contributor:

Heinz, Frigyes.

Ho, Giang.

Series:

IMF Working Papers; Working Paper ; No. 2013/194

IMF Working Papers

Language:

English

Subjects (All):

International economic integration--European Union countries.

International economic integration.

Physical Description:

1 online resource (75 p.)

Place of Publication:

Washington, D.C. : International Monetary Fund, 2013.

Language Note:

English

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.

Contents:

Cover; Abstract; Contents; Executive Summary; I. Introduction; II. The GVAR Model - Model Structure and Data Set Used; A. GVAR Model -A Non-Technical Summary; B. The Data Set (2000-2011); Tables; 1. Countries and Regions in the GVAR Model; 2. Weight Matrix (average of weights for the period 2005-2011) 1/; 3. Trade Weight Matrix (average of weights for the period 2005-2011); 4. Financial Weight Matrix (average of weights for the period 2005-2011); III. Estimation of the GVAR Model; A. Specification and Estimation of the Country-Specific Models; B. Testing for Structural Breaks

C. Contemporaneous Effects of Foreign Variables on their Domestic CounterpartsD. Pair-wise Cross-Country Correlations: Variables and Residuals; 5. Number of rejections of the null of parameter constancy per variable across the; 6. Contemporaneous Effects of Foreign Variables on Their Domestic Counterparts; 7. Average Pair-wise Cross-Section Correlations: Variables and Residuals; IV. Dynamic Analysis Using Generalized Impulse Response Functions and Generalized Forecast Error Variance Decomposition; 8. Regional Weights for the GIRF Exercise; Figures

1. Modulus of the Eigenvalues of the Estimated GVAR modelA. Negative Shock to EURO-West Real GDP growth; B. Shock to Real GDP Growth in Nordic Countries; C. Shock to Real GDP Growth in Central Europe; D. Shock to Real GDP Growth in the Baltic countries; E. Shock to Euro-West Credit Growth; F. Shock to Interest Rate in ADV (the UK, Switzerland, Iceland, and Israel); G. Negative Shock to Real Credit Growth in Central Europe; V. Conclusions; 2. Generalized Impulse Response Function of Real GDP Growth to a Negative One s.d. Shock to Real GDP Growth in the Euro-West Group

9. Generalized Forecast Error Variance Decompositions: a Negative One s.d. Shock to EURO-West real GDP Growth3. Generalized Impulse Response Function of Real GDP Growth to a One s.d. Shock to Real GDP Growth in the Nordic countries; 10. Generalized Forecast Error Variance Decomposition: a One s.d. Shock to Real GDP Growth in the Nordic countries; 4. Generalized Impulse Response Function of Real GDP Growth to a One s.d. Shock to Real GDP Growth in the Central European countries

11. Generalized Forecast Error Variance Decomposition: a One s.d. Shock to to Real GDP Growth in the Central European countries5. Generalized Impulse Response Function of Real GDP Growth to a One s.d. Shock to Real GDP Growth in the Baltic countries; 12. Generalized Forecast Error Variance Decomposition: a One s.d. Shock to Real GDP Growth in the Baltic countries; 6. Generalized Impulse Response Function of Real Credit Growth to a One s.d. Shock to Real Credit Growth in the Euro-West Group

13. Generalized Forecast Error Variance Decomposition: a One s.d. Shock to Real Credit Growth in the Euro-West Group

Notes:

Description based upon print version of record.

Includes bibliographical references.

Description based on online resource; title from PDF title page (ebrary, viewed April 2, 2014).

ISBN:

9781484301234

1484301234

9781475592542

147559254X

9781484375983

148437598X