Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/236243 
Erscheinungsjahr: 
2021
Schriftenreihe/Nr.: 
IZA Discussion Papers No. 14212
Verlag: 
Institute of Labor Economics (IZA), Bonn
Zusammenfassung: 
We bring the notion of connectedness (Diebold and Yilmaz, 2012) to a set of two critical macroeconomic variables as inflation and unemployment. We focus on the G7 economies plus Spain, and use monthly data –high-frequency data in a macro setting– to explore the extent and consequences of total and directional volatility spillovers across variables and countries. We find that total connectedness is larger for prices (58.28%) than for unemployment (41.81%). We also identify asymmetries per country that result in higher short-run Phillips curve trade-offs in recessions and lower trade-offs in expansions. Besides, by exploring time-varying connectedness (resulting from country-specific shocks), we find that volatility spillovers magnify in periods of common economic turmoil such as the Global Financial Crisis. Our results call for an enhancement of international macroeconomic policy coordination.
Schlagwörter: 
country-specific shocks
connectedness
Philips curve
G7
common shocks
JEL: 
C32
C50
E24
F41
F42
Dokumentart: 
Working Paper

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