Title: Spatial propagation of macroeconomic shocks in Europe
Authors: Dewachter, Hans
Houssa, Romain
Toffano, Carla Priscilla
Issue Date: 2010
Publisher: Kuleuven CES
Series Title: CES - Discussion paper series DPS10.12 pages:1-32
Abstract: This paper develops a Spatial Vector Auto-Regressive (SpVAR) model that takes into account both the time and the spatial dimensions of economic shocks.

We apply this framework to analyze the propagation through space and time of macroeconomic (inflation, output gap and interest rate) shocks in Europe. The empirical analysis identifies an economically and statistically significant spatial component in the transmission of macroeconomic shocks in Europe.
Publication status: published
KU Leuven publication type: IR
Appears in Collections:Research Center of International Economics, Leuven

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