This paper examines the transmission of GDP growth and GDP growth volatility among the G7 countries over the period 1960Q1 – 2010Q4, using a multivariate GARCH model and volatility impulse response functions (VIRFs) to identify the source, magnitude and the duration of volatility spillovers....

This paper examines the transmission of GDP growth and GDP growth volatility among the G7 countries over the period 1960 q1 - 2009 q3, using a multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) model to identify the source and magnitude of spillovers. Results...

Over the last decades there has been a sizeable increase in trade and financial openness, triggered by current and capital account liberalization as well as improvements in transport and communication technologies. As a consequence, the importance of spillover effects is likely to have increased...