4Non-technical summary 5

In this paper, we investigate commonalities and spillovers in macro-financial linkages across developed economies. A Bayesian panel vector autoregression (VAR) model with real and financial variables identifies significant common components, especially during the Great Recession. Nevertheless, country-specific factors remain important, which is consistent with the heterogeneous behavior observed across countries over time. We also find that spillovers across countries and between real and financial variables are key to explain economic fluctuations. A shock to a variable in a given country affects all other countries, and the transmission seems to be faster and deeper between financial variables than between real variables. For a shock to a financial variable to have a noticeable effect on the real economy elsewhere, it needs to be either common to all countries or to have originated in a systemic country.

No abstract

We study the e¤ects that the Maastricht treaty, the creation of the ECB, and the Euro changeover had on the dynamics of European business cycles using a panel VAR and data from ten European countries -seven from the Euro area and three outside of it. There are changes in the features of European business cycles and in the transmission of shocks. They precede the three events of interest and are more linked to a general process of European convergence and synchronization.JEL classi…cation: C15, C33, E32, E42

We study the e¤ects that the Maastricht treaty, the creation of the ECB, and the Euro changeover had on the dynamics of European business cycles using a panel VAR and data from ten European countries -seven from the Euro area and three outside of it. There are changes in the features of European business cycles and in the transmission of shocks. They precede the three events of interest and are more linked to a general process of European convergence and synchronization.JEL classi…cation: C15, C33, E32, E42