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The B.E. Journal of Macroeconomics

Editor-in-Chief: Cavalcanti, Tiago / Kambourov, Gueorgui

Ed. by Abraham, Arpad / Carceles-Poveda , Eva / Debortoli, Davide / Schwartzman, Felipe / Wang, Pengfei

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Commonalities and cross-country spillovers in macroeconomic-financial linkages

Matteo Ciccarelli
  • Corresponding author
  • European Central Bank – DG-Research, Sonnemannstrasse 22, D-60314 Frankfurt am Main, Germany
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  • Other articles by this author:
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/ Eva Ortega / Maria Teresa Valderrama
Published Online: 2015-12-17 | DOI: https://doi.org/10.1515/bejm-2013-0120


In this paper, we investigate commonalities and spillovers in macro-financial linkages across developed economies. A Bayesian panel vector autoregression (VAR) model with real and financial variables identifies significant common components, especially during the Great Recession. Nevertheless, country-specific factors remain important, which is consistent with the heterogeneous behavior observed across countries over time. We also find that spillovers across countries and between real and financial variables are key to explain economic fluctuations. A shock to a variable in a given country affects all other countries, and the transmission seems to be faster and deeper between financial variables than between real variables. For a shock to a financial variable to have a noticeable effect on the real economy elsewhere, it needs to be either common to all countries or to have originated in a systemic country.

Keywords: financial crisis; macro-financial linkages; panel VAR models

JEL: C11; C33; E32; F44


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About the article

Corresponding author: Matteo Ciccarelli, European Central Bank – DG-Research, Sonnemannstrasse 22, D-60314 Frankfurt am Main, Germany, e-mail: .

Published Online: 2015-12-17

Published in Print: 2016-01-01

Citation Information: The B.E. Journal of Macroeconomics, Volume 16, Issue 1, Pages 231–275, ISSN (Online) 1935-1690, ISSN (Print) 2194-6116, DOI: https://doi.org/10.1515/bejm-2013-0120.

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