Series: IMF Working Papers
Author(s): Yan Sun , Frigyes Heinz , and Giang Ho
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 11 September 2013
Keywords: Spillover, Global VAR, regional model, macro-financial linkages, emerging Europe, gdp growth, real gdp, inflation, growth rate, long-term interest rates
This paper uses the Global VAR (GVAR) model proposed by Pesaran et al. (2004) to study cross-country linkages among euro area countries, other advanced European countries (including the Nordics, the UK, etc.), and...