From the core to the European periphery: Spillover effects of financial cycles☆
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F25%3A10258407" target="_blank" >RIV/61989100:27510/25:10258407 - isvavai.cz</a>
Result on the web
<a href="https://www.sciencedirect.com/science/article/pii/S1566014125000548" target="_blank" >https://www.sciencedirect.com/science/article/pii/S1566014125000548</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.ememar.2025.101305" target="_blank" >10.1016/j.ememar.2025.101305</a>
Alternative languages
Result language
angličtina
Original language name
From the core to the European periphery: Spillover effects of financial cycles☆
Original language description
We construct a comprehensive Financial Cycle Index (FCI), combining credit, credit-to-GDP, house prices, and equity prices, to examine how negative financial shocks from the Euro Area (EA) and the United States (US) transmit to peripheral European economies. Using a Bayesian Global Vector Autoregression (BGVAR) model with stochastic volatility, we find that EA shocks exert stronger effects on inflation and output, underscoring tight regional linkages. In contrast, US shocks drive more persistent declines in short-term interest rates and sharper increases in term premiums, especially in smaller open economies. Replacing the FCI with the Country-Level Index of Financial Stress (CLIFS) reveals faster, more volatile financial-cycle responses in the periphery, but with weaker and shorter-lived real-sector effects, highlighting the role of acute financial stress versus longer-term credit and asset-price dynamics. These core-to-periphery spillovers persist under de facto floating exchange rates and remain robust to macroprudential-policy controls and alternative model specifications.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50200 - Economics and Business
Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2025
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Emerging Markets Review
ISSN
1566-0141
e-ISSN
1873-6173
Volume of the periodical
68
Issue of the periodical within the volume
September
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
25
Pages from-to
101305
UT code for WoS article
001527984000001
EID of the result in the Scopus database
2-s2.0-105009603133