ClubMed? Cyclical fluctuations in the Mediterranean basin

Canova, Fabio; Ciccarelli, Matteo

doi:10.1016/j.jinteco.2012.03.007

Cited by 46 publications

(35 citation statements)

References 13 publications

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“…We find that the common factor of financial prices leads fluctuations in real variables, while loan ratios are lagging. 4 In fact, in most recessions financial prices are usually the first to recover, followed by real variables and the last to recover is the lending market. An interpretation of the latter could be that lower activity shrinks credit demand but also credit supply, partly because of the increase in non-performing loans.…”

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confidence: 99%

Heterogeneity and Cross-Country Spillovers in Macroeconomic-Financial Linkages

2012

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may AbstractWe investigate heterogeneity and spillovers in macro-financial linkages across developed economies, with a particular emphasis in the most recent recession. A panel Bayesian VAR model including real and financial variables identifies a statistically significant common component, which turns out to be very significant during the most recent recession. Nevertheless, countryspecific factors remain important, which explains the heterogeneous behaviour across countries observed over time. Moreover, spillovers across countries and between real and financial variables are found to matter: 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. Finally, shocks spill over in a heterogeneous way across countries.JEL classification: C11, C33, E32, F44 Key words: Financial crisis, Macro-financial linkages, panel VAR models 1 Non-technical summaryThere are many channels through which macroeconomic and financial linkages can arise. For instance, a deterioration of financial conditions will affect the economy through a negative wealth effect on consumption and investment decisions, or through credit rationing given the difficulty to identify solvent borrowers. On the other hand, an economic downturn can affect the valuation of financial assets, since the present value of future cash flows decreases. The final effect on the economy depends not only on agents' behavior but also on the institutional framework they operate in, both of which vary across countries and over time.This paper addresses the topic of heterogeneous macro-financial linkages across countries and over time and quantifies the importance of country spillovers from real and financial shocks. We analyze the evolution and heterogeneity in macro-financial linkages and international spillovers over the last three decades for some developed economies in a unified framework. We build a time-varying panel VAR model where real and financial variables are jointly modelled for a set of countries including the G7 and other relevant European economies. Of a total of 10 countries, 7 belong to the European Union and of those, 5 are euro area members. Although tight institutional and economic interdependencies may have made euro area countries more alike, the recent recession has shown that hand in hand with some common behavior, there may still be a s...

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Heterogeneity and Cross-Country Spillovers in Macroeconomic-Financial Linkages

2012

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“…Imbs (2006) and Clark and Van Wincoop (2001) find high synchronization between financially open developing countries and the G7. Canova and Ciccarelli (2012) and Canova and Schlaepfer (2013) analyze business cycle interdependence among Mediterranean countries and find that traditional transmission channels, such as trade and financial integration, are not very important determinants of business cycle interdependence in this region.…”

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Dynamics of Global Business Cycles Interdependence

Ductor¹,

Leiva-León

2015

SSRN Journal

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“…Panel VARs have been used to address a variety of issues of interest to applied macroeconomists and policymakers, such as, business cycle convergence and cross sectional dynamics (Canova et al, 2007;Canova and Ciccarelli, 2012), the construction of coincident or leading indicators of economic activity (Canova and Ciccarelli, 2009), financial development and dynamic investment behavior (Love and Zicchino, 2006a), housing price dynamics (Head et al, 2014) and exchange rate volatility dynamics (Grossmann et al, 2014), among others.…”

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Energy consumption, CO 2 emissions, and economic growth: An ethical dilemma

Antonakakis¹,

Chatziantoniou

Filis

2017

Renewable and Sustainable Energy Reviews

395

129

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In this study we examine the dynamic interrelationship in the output-energyenvironment nexus by applying panel vector autoregression (PVAR) and impulse response function analyses to data on energy consumption (and its subcomponents), carbon dioxide emissions and real GDP in 106 countries classified by different income groups over the period 1971-2011. Our results reveal that the effects of the various types of energy consumption on economic growth and emissions are heterogeneous on the various groups of countries. Moreover, causality between total economic growth and energy consumption is bidirectional, thus making a case for the feedback hypothesis. However, we cannot report any statistically significant evidence that renewable energy consumption, in particular, is conducive to economic growth, a fact that weakens the argument that renewable energy consumption is able to promote growth in a more efficient and environmentally sustainable way. Finally, in analysing the case for an inverted U-shaped EKC, we find that the continued process of growth aggravates the greenhouse gas emissions phenomenon. In this regard, we cannot provide any evidence that developed countries may actually grow-out of environmental pollution. In the light of these findings, the efficacy of recent government policies in various countries to promote renewable energy consumption as a means for sustainable growth is questioned. Put differently, there seems to be a moral dilemma, between high economic growth rates and unsustainable environment and low or zero economic growth and environmental sustainability.

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ClubMed? Cyclical fluctuations in the Mediterranean basin

Cited by 46 publications

References 13 publications

Heterogeneity and Cross-Country Spillovers in Macroeconomic-Financial Linkages

Heterogeneity and Cross-Country Spillovers in Macroeconomic-Financial Linkages

Dynamics of Global Business Cycles Interdependence

Energy consumption, CO 2 emissions, and economic growth: An ethical dilemma

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