This paper examines the link between macro volatility and economic growth in the lens of spatial econometrics. We present an unconstrained spatial Durbin Ramey-Ramey model. We test the extended model in a panel of 78 countries to investigate all the possible dimensions along which spatial interactions can affect the link between macro volatility and growth. In contrast to previous literature, we split the effects of volatility on growth into direct and indirect effects using partial derivative impacts approach. We found that both the direct and indirect effects of volatility on growth are negative; the latter effect suggesting the transmission of volatility shocks to neighbouring countries. Growth rates observed in neighbouring countries has a positive effect on growth rate of a particular country.Du lien entre volatilité et croissance: une méthode d'économétrie spatiale RÉSUMÉ la présente communication examine le lien entre la macro-volatilité et la croissance économique dans l'optique de l'économétrie spatiale. Nous présentons un modèle spatial sans contrainte de Durbin Ramey-Ramey. Nous soumettons le modèle élargi à un groupe de 78 pays pour examiner toutes les dimensions possibles conjointement avec des interactions spatiales pouvant affecter le lien entre la macrovolatilité et la croissance. Contrairement à des recherches précédentes, nous subdivisons les effets de la volatilité sur la croissance entre effets directs et indirects, en adoptant une méthode d'impacts à dérivée partielle. Nous relevons que les effets tant directs qu'indirects de la volatilité sur la croissance sont négatifs, dans le deuxième cas, l'effet pouvant indiquer une transmission de chocs de volatilité à des pays avoisinants. Les taux de croissance observés dans des pays voisins a un effet positif sur le taux de croissance d'un certain pays.Sobre la interrelación entre la volatilidad y el crecimiento: un enfoque econométrico espacial RESUMEN este estudio analiza la interrelación entre la macrovolatilidad y el crecimiento económico bajo una perspectiva econométrica espacial. Presentamos un modelo espacial no limitado de Durbin Ramey-Ramey. Probamos el modelo ampliado en un panel de 78 países para investigar todas las dimensiones posibles junto con las interacciones espaciales que pueden afectar la interrelación entre la macrovolatilidad y el crecimiento. En contraste con los estudios anteriores, dividimos los efectos de la volatilidad sobre el crecimiento en efectos directos e indirectos utilizando el enfoque de los efectos derivados parciales. Hemos encontrado que los efectos directos e indirectos de la volatilidad sobre el crecimiento son negativos y en el caso de los indirectos, se sugiere que la transmisión de la volatilidad afecta a los países vecinos. Las tasas de crecimiento observadas en los países vecinos tienen un efecto sobre la tasa de crecimiento de un país en particular. 波动性与增长的关联：一个空间计量经济学方法摘要 ：本文从计量 经济学的视角审视了宏观波动性与经济增长之间的关联。我们 提出了一个无约束空间 Durbin Ramey-Ramey 模型。我们在 78 个国家进行了这项扩 展模型试验，以调查所有可能对宏观波动性与增长之间的关联产生影响的空间交互 作用维度。与以往的文...

In this paper we derive a space-time model for electricity spot prices. A general spatial Durbin model that incorporates the temporal as well as spatial lags of spot prices is presented. Joint modeling of space-time eects is necessarily important when prices and loads are determined in a network of power exchange areas. We use data from the Nord Pool electricity power exchange area bidding markets. Dierent spatial weight matrices are considered to capture the structure of the spatial dependence process across dierent bidding markets and statistical tests show signicant spatial dependence in the spot price dynamics. Estimation of the spatial Durbin model show that the spatial lag variable is as important as the temporal lag variable in describing the spot price dynamics. We use the partial derivatives impact approach to decompose the price impacts into direct and indirect eects and we show that price eects transmit to neighboring markets and decline with distance. In order to examine the evolution of the spatial correlation over time, a time varying parameters spot price spatial Durbin model is estimated using recursive estimation. It is found that the spatial correlation within the Nord Pool grid has been increasing over time which we interpret as evidence for an increasing degree of market integration.

The Policy Research Working Paper Series disseminates the findings of work in progress to encourage the exchange of ideas about development issues. An objective of the series is to get the findings out quickly, even if the presentations are less than fully polished. The papers carry the names of the authors and should be cited accordingly. The findings, interpretations, and conclusions expressed in this paper are entirely those of the authors. They do not necessarily represent the views of the International Bank for Reconstruction and Development/World Bank and its affiliated organizations, or those of the Executive Directors of the World Bank or the governments they represent.

The Policy Research Working Paper Series disseminates the findings of work in progress to encourage the exchange of ideas about development issues. An objective of the series is to get the findings out quickly, even if the presentations are less than fully polished. The papers carry the names of the authors and should be cited accordingly. The findings, interpretations, and conclusions expressed in this paper are entirely those of the authors. They do not necessarily represent the views of the International Bank for Reconstruction and Development/World Bank and its affiliated organizations, or those of the Executive Directors of the World Bank or the governments they represent.

The Policy Research Working Paper Series disseminates the findings of work in progress to encourage the exchange of ideas about development issues. An objective of the series is to get the findings out quickly, even if the presentations are less than fully polished. The papers carry the names of the authors and should be cited accordingly. The findings, interpretations, and conclusions expressed in this paper are entirely those of the authors. They do not necessarily represent the views of the International Bank for Reconstruction and Development/World Bank and its affiliated organizations, or those of the Executive Directors of the World Bank or the governments they represent.