Using a generalized vector autoregressive framework in which forecast-error variance decompositions are invariant to the variable ordering, we propose measures of both the total and directional volatility spillovers. We use our methods to characterize daily volatility spillovers across US stock,...

Frontmatter -- Contents -- Preface -- Acknowledgments -- PART I: INTRODUCTION -- 1. Questions about Business Cycles -- PART II: BUSINESS CYCLE DURATIONS -- 2. Have Postwar Economic Fluctuations Been Stabilized? -- 3. Shorter Recessions and Longer Expansions -- 4. A Nonparametric Investigation of...

This paper extends the partial (PE) and general equilibrium (GE) analyses of Nash and Stackelberg optimum export taxes to a multicountry framework, using a computable general equilibrium (CGE) model of the global cocoa market. There are several results to report. First, depending on the leader's...

Summary We analyze the export decision of Turkish manufacturing plants from 1990 to 2001. In addition to the presence of high sunk costs of entry in export markets, we find support for the hypothesis that the full history of exporting matters for the current export decision. However, the effect...

This paper studies business cycle interdependence among the industrialized countries since 1958. Using the spillover index methodology recently proposed by Diebold and Yilmaz (2009) and based on the generalized VAR framework, I develop an alternative measure of comovement of macroeconomic...

We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes,...