Cross-country connectedness in inflation and unemployment : measurement and macroeconomic consequences
Pham, Thai Binh (University of Economics Ho Chi Minh City)
Sala Lorda, Hector (Universitat Autònoma de Barcelona. Departament d'Economia Aplicada)

Date:	2022 2022
Abstract:	We bring the notion of connectedness (Diebold and Yilmaz, Int J Forecast 28(1):57-66 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.
Grants:	Agencia Estatal de Investigación PID2019-104723RB-I00
Rights:	Aquest document està subjecte a una llicència d'ús Creative Commons. Es permet la reproducció total o parcial, la distribució, i la comunicació pública de l'obra, sempre que no sigui amb finalitats comercials, i sempre que es reconegui l'autoria de l'obra original. No es permet la creació d'obres derivades.
Language:	Anglès
Document:	Article ; recerca ; Versió sotmesa a revisió
Subject:	Country-specific shocks ; Connectedness ; Philips curve ; G7 ; Common shocks ; SDG 8 - Decent Work and Economic Growth
Published in:	Empirical Economics, Vol. 62 , p. 1123-1146 (2022) , ISSN 1435-8921

DOI: 10.1007/s00181-021-02052-0
PMID: 33897094

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