EMU; Business cycles; Spillovers; Variance decomposition; Vector autoregression; Impulse response function

Business Cycle Spillovers in the EU15: What is the Message Transmitted by the Periphery?

JEL codes: 
C32, E32, F00
Version Date: 
Dec 2013
Abstract: 

We examine business cycle spillovers in the EU15 countries by employing the spillover index approach of Diebold and Yilmaz (2009, 2012), over the period 1977-2012. The propagation mechanisms of business cycle shocks among EU15 is becoming a major interest due to unprecedented recent economic turbulence. The results of our analysis reveal the following empirical regularities.

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