Financial Linkages and Sectoral Business Cycle Synchronization: Evidence from Europe
| Autor: | Julia Schaumburg, Hannes Boehm, Lena Tonzer |
|---|---|
| Přispěvatelé: | Econometrics and Data Science, Finance |
| Rok vydání: | 2020 |
| Předmět: |
Finance
business.industry Industrial production Financial integration SDG 8 - Decent Work and Economic Growth Real estate Discount points General Business Management and Accounting Spillover effect Agriculture Value (economics) Economics Business cycle business General Economics Econometrics and Finance |
| Zdroj: | IMF Economic Review, 70(4), 698-734. Palgrave Macmillan Ltd. Böhm, H, Schaumburg, J & Tonzer, L 2022, ' Financial Linkages and Sectoral Business Cycle Synchronization : Evidence from Europe ', IMF Economic Review, vol. 70, no. 4, pp. 698-734 . https://doi.org/10.1057/s41308-022-00173-9 |
| ISSN: | 1556-5068 2041-4161 |
| DOI: | 10.2139/ssrn.3531655 |
| Popis: | We analyze whether financial integration between countries leads to converging or diverging business cycles using a dynamic spatial model. Our model allows for contemporaneous spillovers of shocks to GDP growth between countries that are financially integrated and delivers a scalar measure of the spillover intensity at each point in time. For a financial network of ten European countries from 1996-2017, we find that the spillover effects are positive on average but much larger during periods of financial stress, pointing towards stronger business cycle synchronization. Dismantling GDP growth into value added growth of ten major industries, we observe that some sectors are strongly affected by positive spillovers (wholesale & retail trade, industrial production), others only to a weaker degree (agriculture, construction, finance), while more nationally influenced industries show no evidence for significant spillover effects (public administration, arts & entertainment, real estate). |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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