Spatial Propagation of Macroeconomic Shocks in Europe

32 Pages Posted: 20 May 2010

See all articles by Hans Dewachter

Hans Dewachter

Catholic University of Leuven (KUL) - Department of Economics; Erasmus Research Institute of Management (ERIM)

Romain Houssa

CRED & CEREFIM, University of Namur

Priscilla Toffano

KU Leuven

Date Written: April 2010

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.

Keywords: Macroeconomics, Spatial Models, VAR

JEL Classification: E3, E43, E52, C51, C33

Suggested Citation

Dewachter, Hans and Houssa, Romain and Toffano, Priscilla, Spatial Propagation of Macroeconomic Shocks in Europe (April 2010). Available at SSRN: https://ssrn.com/abstract=1612207 or http://dx.doi.org/10.2139/ssrn.1612207

Hans Dewachter (Contact Author)

Catholic University of Leuven (KUL) - Department of Economics ( email )

Center for Economic Studies
Naamsestraat 69
Leuven, B-3000
Belgium
+0032 16 326859 (Phone)
+0032 16 326796 (Fax)

Erasmus Research Institute of Management (ERIM)

P.O. Box 1738
3000 DR Rotterdam
Netherlands

Romain Houssa

CRED & CEREFIM, University of Namur ( email )

8 Rempart de la Vierge
Namur, 5000
Belgium

Priscilla Toffano

KU Leuven ( email )

Oude Markt 13
Leuven, Vlaams-Brabant 3000
Belgium

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