Spillover index for European business cycle
The Covid-19 pandemic has had a significant impact on the international economy. The paper analyses the interdependence between the business cycles of the European Union economies to capture the effect of the Covid-19 pandemic on them. Using cluster analysis on the monthly data of industrial product...
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| Format: | Article |
| Language: | English |
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Institutul de Studii Financiare
2020-12-01
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| Series: | Revista de Studii Financiare |
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| Online Access: | https://revista.isfin.ro/wp-content/uploads/2020/11/10.-Acatrinei-Marius-Cristian_EN.pdf |
| _version_ | 1819280970998611968 |
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| author | Marius Cristian Acatrinei |
| author_facet | Marius Cristian Acatrinei |
| author_sort | Marius Cristian Acatrinei |
| collection | DOAJ |
| description | The Covid-19 pandemic has had a significant impact on the international economy. The paper analyses the interdependence between the business cycles of the European Union economies to capture the effect of the Covid-19 pandemic on them. Using cluster analysis on the monthly data of industrial production indices, two blocks of savings were identified within the European economy. In the second step with the help of an, a contagion index was estimated with a Vector Autoregressive model for the last 10 years. The results indicate a rapid response, transmitted by contagion, between European economies, leading to a change in the business cycles. The less developed economies absorbed the shocks asymmetrically generated by pandemics amid structural economic problems, which were pre-existing in these economies, thus allowing for a rapid expansion of economic shocks. |
| first_indexed | 2024-12-24T00:52:16Z |
| format | Article |
| id | doaj.art-a00711b4cfc34172ae15d589f7528c7a |
| institution | Directory Open Access Journal |
| issn | 2537-3714 2559-1347 |
| language | English |
| last_indexed | 2024-12-24T00:52:16Z |
| publishDate | 2020-12-01 |
| publisher | Institutul de Studii Financiare |
| record_format | Article |
| series | Revista de Studii Financiare |
| spelling | doaj.art-a00711b4cfc34172ae15d589f7528c7a2022-12-21T17:23:33ZengInstitutul de Studii FinanciareRevista de Studii Financiare2537-37142559-13472020-12-01954957Spillover index for European business cycleMarius Cristian Acatrinei0Financial Supervisory Authority, Bucharest, RomaniaThe Covid-19 pandemic has had a significant impact on the international economy. The paper analyses the interdependence between the business cycles of the European Union economies to capture the effect of the Covid-19 pandemic on them. Using cluster analysis on the monthly data of industrial production indices, two blocks of savings were identified within the European economy. In the second step with the help of an, a contagion index was estimated with a Vector Autoregressive model for the last 10 years. The results indicate a rapid response, transmitted by contagion, between European economies, leading to a change in the business cycles. The less developed economies absorbed the shocks asymmetrically generated by pandemics amid structural economic problems, which were pre-existing in these economies, thus allowing for a rapid expansion of economic shocks.https://revista.isfin.ro/wp-content/uploads/2020/11/10.-Acatrinei-Marius-Cristian_EN.pdfcovid-19contagion indexbusiness cycleeuropean unionvardendogram |
| spellingShingle | Marius Cristian Acatrinei Spillover index for European business cycle Revista de Studii Financiare covid-19 contagion index business cycle european union var dendogram |
| title | Spillover index for European business cycle |
| title_full | Spillover index for European business cycle |
| title_fullStr | Spillover index for European business cycle |
| title_full_unstemmed | Spillover index for European business cycle |
| title_short | Spillover index for European business cycle |
| title_sort | spillover index for european business cycle |
| topic | covid-19 contagion index business cycle european union var dendogram |
| url | https://revista.isfin.ro/wp-content/uploads/2020/11/10.-Acatrinei-Marius-Cristian_EN.pdf |
| work_keys_str_mv | AT mariuscristianacatrinei spilloverindexforeuropeanbusinesscycle |