The Spillover Effect of Euro Area on Central and Southeastern European Economies: A Global VAR Approach

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F16%3A10323060" target="_blank" >RIV/00216208:11230/16:10323060 - isvavai.cz</a>

Výsledek na webu

<a href="http://dx.doi.org/10.1007/s11079-015-9378-4" target="_blank" >http://dx.doi.org/10.1007/s11079-015-9378-4</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1007/s11079-015-9378-4" target="_blank" >10.1007/s11079-015-9378-4</a>

Jazyk výsledku

angličtina

Název v původním jazyce

The Spillover Effect of Euro Area on Central and Southeastern European Economies: A Global VAR Approach

Popis výsledku v původním jazyce

We use the global vector autoregression model to examine macroeconomic spillovers within the European Union over the period 2000-2014. We investigate how shocks originating in the euro area affect output and prices in the rest of Europe. We examine four different policy relevant shock scenarios: (i) increase in the euro area interest rate; (ii) increase in the euro area industrial production; (iii) decrease in the euro area consumer prices and (iv) decrease in global oil prices. In general, we find that these shocks have an effect of same (and expected) sign but of different size across the European Union. Our results suggest that the response of Central European countries to the euro area shocks is almost as strong as the response of the euro area countries itself. On the other hand, our results indicate that South East Europe is somewhat less sensitive to the euro area shocks and oil price shocks.

Název v anglickém jazyce

The Spillover Effect of Euro Area on Central and Southeastern European Economies: A Global VAR Approach

Popis výsledku anglicky

We use the global vector autoregression model to examine macroeconomic spillovers within the European Union over the period 2000-2014. We investigate how shocks originating in the euro area affect output and prices in the rest of Europe. We examine four different policy relevant shock scenarios: (i) increase in the euro area interest rate; (ii) increase in the euro area industrial production; (iii) decrease in the euro area consumer prices and (iv) decrease in global oil prices. In general, we find that these shocks have an effect of same (and expected) sign but of different size across the European Union. Our results suggest that the response of Central European countries to the euro area shocks is almost as strong as the response of the euro area countries itself. On the other hand, our results indicate that South East Europe is somewhat less sensitive to the euro area shocks and oil price shocks.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

—

Projekt

<a href="/cs/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamické modely v ekonomii</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2016

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Open Economices Review

ISSN

0923-7992

e-ISSN

—

Svazek periodika

27

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

27

Strana od-do

359-385

Kód UT WoS článku

000372267700008

EID výsledku v databázi Scopus

2-s2.0-84959883534