Naslov
SYNCHRONIZATION AND SPILLOVERS OF BUSINESS CYCLES IN THE EUROPEAN UNION

Autori
Arčabić, Vladimir ; Škrinjarić, Tihana

Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni

Izvornik
Proceedings of FEB Zagreb International Odyssey Conference on Economics and Business / Šimurina, Jurica ; Načinović Braje, Ivana ; Pavić, Ivana - Opatija : Ekonomski fakultet Sveučilišta u Zagrebu, 2019, 113-127

Skup
10th International Odyssey Conference on Economics and Business

Mjesto i datum
Opatija, Hrvatska, 12.06.2019. - 15.06.2019

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
business cycle ; spillover ; synchronization ; Eurozone ; Vector autoregression ; variance decomposition

Sažetak
This paper analyzes business cycle spillovers and synchronization in the old member states of the European Union. Business cycle spillovers and synchronization are important for the European Union and especially for the Eurozone to avoid asymmetric shocks and problems to the common monetary policy. Using Diebold-Yilmaz spillover index methodology over the sample from 1975 to 2018, we show that business cycle spillovers increased sharply during the period from 2009 to 2015 that coincides with the Great Recession and the sovereign debt crisis in the Eurozone. There is no single country that transmits the majority of shocks, but instead, most of the countries have a nontrivial share in shock transmission. Nevertheless, Italy, France, UK, Belgium, Sweden, Luxembourg, and the Netherlands are the biggest net transmitters of shocks. Our results indicate that business cycle spillovers between the old EU member states are complex. Each member state is typically exposed to business cycle shocks of more than a few other member states. Business cycle spillovers are also related to the level of business cycle synchronization. First, we observe that positive spillovers are related to negative output gaps, e.g., they are high during recessions and low during periods of economic growth. Second, spillover shocks are typically symmetric and affect almost all analyzed countries in the same way. Spillovers are found to be positively correlated with business cycle synchronization, especially after the Great Recession and the sovereign debt crisis in the Eurozone. That finding is important for monetary policy in the Eurozone because synchronized shocks and business cycles make the conduct of monetary policy easier. The main conclusion is that the old member states of the EU are highly integrated and exposed to business cycle shocks from other EU members.

Izvorni jezik
Engleski

Znanstvena područja
Matematika, Ekonomija

POVEZANOST RADA