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International Linkages and Spill-overs Network (Intlink)

Against the background of rising real and financial globalisation, a top priority for central bankers is to improve our understanding of cross-border linkages and spillovers. This is particularly so given the clear pitfalls exhibited by existing economic models in the past and in the aftermath of the global financial crisis.

Objectives

Providing a forum for researchers in which they can share and compare their modelling tools, at regular meetings and special events;
Creating an easily accessible archive of relevant tools and data which may be useful for research purposes;
Pooling individual researchers’ expertise to address key questions of substance.

Events

3-5 July 2014: Euro Area Business Cycle Network Training School – “ International Dimensions of Optimal Monetary Policy”,(Giancarlo Corsetti) , University of Cambridge, Cambridge
3-4 October 2013: Joint ECB/Central Bank of the Republic of Turkey conference – “Modelling International Linkages and Spillovers”, Izmir, Turkey
6 December 2013: LAREFI workshop – "Workshop Finance and international trade", Bordeaux, France
16-17 January 2014: Joint EABH/Glasgow University conference – "The Challenges of International Banking Regulation and Supervision after 1945", Frankfurt am Main, Germany

Participants and chair

Participants include

economists from the ECB (DG International & European Relations, DG Research and DG Economics),
economists from the Deutsche Bundesbank,
external academics.

Regular contact is maintained with the IMF, the BIS and the Federal Reserve Bank of New York.

Chair: Livio Stracca, Senior Adviser, DG International & European Relations, ECB
Contact: intlink@ecb.europa.eu

International Linkages Database

Database in STATA

Code Book Intlink

Literature

Bacchetta, P. and van Wincoop, E. (2013), “Sudden spikes in global risk”, Journal of International Economics, Vol. 89(2), Elsevier, pp. 511-521.
Brian, M. D. and Faust, J. (2005), “Breaks in the Variability and Comovement of G-7 Economic Growth”, The Review of Economics and Statistics, Vol. 87(4), MIT Press, November, pp. 721-740.
Giannone, D. and Reichlin, L. (2008), “Did the Euro imply more correlation of cycles?”, ULB Institutional Repository 2013/13394, ULB – Université Libre de Bruxelles.
Grossman, R. S. and Meissner, C. M. (2010), “International aspects of the Great Depression and the crisis of 2007: similarities, differences, and lessons”, Oxford Review of Economic Policy, Vol. 26(3), Oxford University Press, Autumn, pp. 318-338.
Kose, M. A., Loungani, P. and Terrones, M. E. (2013), “From the Global to the National Cycle: An Intricate Liaison”, Pacific Economic Review, Vol. 18, Issue 3, pp. 370-402.
Kose, M.A., Otrok, C. and Prasad, E. (2012), “Global Business Cycles: Convergence Or Decoupling?”, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Vol. 53(2), May, pp. 511-538.
Yetman, J. (2011), “Exporting recessions: International links and the business cycle”, Economics Letters, Elsevier, Vol. 110(1), January, pp. 12-14.

Acharya, V.V. and Schnabl, P. (2010), “Do Global Banks Spread Global Imbalances? Asset-Backed Commercial Paper during the Financial Crisis of 2007–09”, IMF Economic Review, Vol. 58(1), Palgrave Macmillan, August, pp. 37-73.
Bruno, V. and Song Shin, H. (2013), “Capital Flows, Cross-Border Banking and Global Liquidity”, NBER Working Papers, No 19038, National Bureau of Economic Research, Inc.
Forbes, K. (2012), “The “Big C”: Identifying Contagion" NBER Working Papers, No 18465, National Bureau of Economic Research, Inc.
Forbes, K.J. (2004), “The Asian flu and Russian virus: the international transmission of crises in firm-level data”, Journal of International Economics, Vol. 63(1), Elsevier, May, pp. 59-92.
Kalemli-Ozcan, S., Papaioannou, E. and Perri, F. (2013), “Global banks and crisis transmission”, Journal of International Economics, Vol. 89(2), Elsevier, pp. 495-510.
Kalemli-Ozcan, S., Papaioannou, E. and Peydró, J. L. (2013), “Financial Regulation, Financial Globalization, and the Synchronization of Economic Activity”, Journal of Finance, Vol. 68, Issue 3, pp. 1179-1228.
Kubelec, C. and Sa, F. (2010), “The geographical composition of national external balance sheets: 1980-2005”, Bank of England Working Paper Series, No 384, Bank of England.

Auerbach, A.J. and Gorodnichenko, Y. (2013), “Output Spillovers from Fiscal Policy”, American Economic Review, American Economic Association, Vol. 103(3), May, pp. 141-46.
Beetsma, R., Giuliodori , M. and Klaassen, F. (2006), “Trade spill-overs of fiscal policy in the European Union: a panel analysis", Economic Policy, CEPR & CES & MSH, Vol. 21(48), October, pp. 639-687.
Corsetti, G., Meier, A. and Müller, G. J. (2010), “Cross-Border Spillovers from Fiscal Stimulus”, International Journal of Central Banking, Vol. 6(1), March, pp. 5-37.
Corsetti, G., Kuester, K. and Müller, G. J. (2011), “Floats, Pegs and the Transmission of Fiscal Policy”, Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, August, Vol. 14(2), pp. 5-38.
Kim, S. (2001), “International transmission of U.S. monetary policy shocks: Evidence from VAR’s”, Journal of Monetary Economics, Vol. 48(2), Elsevier, pp. 339-372.

di Giovanni, J. and Shambaugh, J. C. (2008), “The impact of foreign interest rates on the economy: The role of the exchange rate regime", Journal of International Economics, Vol. 74(2), Elsevier, March, pp. 341-361.
Klein, M. W. and Shambaugh, J.C. (2008), “The dynamics of exchange rate regimes: Fixes, floats, and flips”, Journal of International Economics, Vol. 75(1), Elsevier, May, pp. 70-92.
Lane, P. R. and Shambaugh, J. C. (2010), “The long or short of it: Determinants of foreign currency exposure in external balance sheets”, Journal of International Economics, Vol. 80(1), Elsevier, January, pp. 33-44.
Vespignani, J. L. and Ratti, R. A. (2013), “International monetary transmission to the Euro area: Evidence from the U.S., Japan and China”, MPRA Paper 49707, University Library of Munich, Germany.

Home bias in trade

Chaney, T. (2013), “The Gravity Equation in International Trade: An Explanation”, NBER Working Papers, No. 19285.
Kepaptsoglou, K., Karlaftis, M. G. and Tsamboulas, D. (2010), “ The Gravity Model Specification for Modeling International Trade Flows and Free Trade Agreement Effects: A 10-Year Review of Empirical Studies”, The Open Economics Journal, No 3, pp. 1-13.

Home bias in finance and financial integration

Aviat, A. and Coeurdacier, N. (2007), “The geography of trade in goods and asset holdings”, Journal of International Economics, Vol. 71(1), Elsevier, pp. 22-51.
Journal of International Economics, Vol. 71(1), Elsevier, pp. 22-51. “International Bank Portfolios: Short- and Long-Run Responses to Macroeconomic Conditions”, Review of International Economics, Vol. 18(2), Wiley Blackwell, May, pp. 289-306.
Coeurdacier, N. and Rey, H. (2013), “Home Bias in Open Economy Financial Macroeconomics," Journal of Economic Literature, American Economic Association, Vol. 51(1), March, pp. 63-115.
Dedola, L. and Lombardo, G. (2012), “Financial frictions, financial integration and the international propagation of shocks”, Economic Policy, CEPR & CES & MSH, Vol. 27(70), April, pp. 319-359.
Okawa, Y. and van Wincoop, E. (2012), “Gravity in International Finance”, Journal of International Economics, Vol. 87(2), Elsevier, pp. 205-215.

GVAR

di Mauro, F., Smith, L.V., Dees, S. and Pesaran, H.M. (2007), “Exploring the international linkages of the euro area: a global VAR analysis”, Journal of Applied Econometrics, Vol. 22(1), John Wiley & Sons, Ltd., pp. 1-38.

PVAR

Canova, F. and Ciccarelli, M. (2013), “Panel vector autoregressive models. A survey (2013)” Working Paper Series, No 1507, ECB.
Canova, F. and Ciccarelli, M. (2009), “Estimating Multicountry VAR Models”, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Vol. 50(3), August, pp. 929-959.
Canova, F. and Ciccarelli, M. (2004), “Forecasting and turning point predictions in a Bayesian panel VAR model”, Journal of Econometrics, Vol. 120(2), Elsevier, June, pp. 327-359.

Aysun, U. and Alpanda, S. (2012), “International Transmission of Financial Shocks in an Estimated DSGE model”, Working Papers, No 2012-06, University of Central Florida, Department of Economics.
Enders, Z., Jung, P. and Müller, G. J. (2013), “Has the Euro changed the business cycle?”, European Economic Review, Vol. 59(C), Elsevier, pp. 189-211.
Lubik, T. and Schorfheide, F. (2006), “A Bayesian Look at the New Open Economy Macroeconomics”, NBER Chapters, in: NBER Macroeconomics Annual 2005, Vol. 20, National Bureau of Economic Research, Inc., pp. 313-382.
Steinsson, J. (2008), “The Dynamic Behavior of the Real Exchange Rate in Sticky Price Models”, American Economic Review, American Economic Association, Vol. 98(1), March, pp. 519-33.

IMF, World Economic Outlook – Chapters 3 and 4, August 2013

Resources on the web

Databases

GeoDist databases of CEPII
Regional Trade Agreements Information System (RTA-IS) of the WTO

Tools and programmes

GVAR models

GVAR modelling website created by L. Vanessa Smith

Open economy DSGE models

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