International Comovement of Economic Fluctuations: A Spatial Analysis
Format of Original
We consider the comovement of economic volatility across multiple countries. Using spatial models with data from 187 countries over the period of 1960–2007, we find a strong spatial comovement of economic volatility. More interestingly, the effect of geographical proximity on economic volatility comovement is strongest during the period of international shocks (1973–86), but almost disappears over the globalization era (1987–2007). By way of contrast, the influence of trade relations in determining the comovement of economic volatility is significant over 1987–2007.