2011年-IMF国际货币组织全球_Growth_Spillover_Dynamics_From_Crisis_to_Recovery_51页_2mb

报告摘要

Summary of "Growth Spillover Dynamics from Crisis to Recovery"

Core Content

This working paper by Hélène Poirson and Sebastian Weber investigates the dynamics of growth spillovers within Europe and globally, particularly focusing on the role of countries in the recovery following the 2008-09 financial crisis. The study uses a structural vector autoregression (SVAR) framework to analyze how growth shocks from certain countries influence others, both during the crisis and in the subsequent recovery period.

Main Findings

U.S. and Japan as Key Spillover Sources: The U.S. and Japan remain the primary sources of growth spillovers in the recovery, with France also playing a significant role for European crisis countries.
Germany's Role: Despite increased correlation with other euro area countries, Germany generates relatively small outward spillovers. However, it acts as a key transmitter and amplifier of external growth shocks due to its direct exposure to foreign shocks.
Spain's Shift: Spain was a source of positive spillovers before the crisis but now generates negative spillovers due to depressed domestic demand.
Crisis vs. Recovery: Negative spillovers from European crisis countries are limited, consistent with their modest size.
Transmission Channels: Financial and non-trade channels explain the largest share of cross-border growth spillovers, while trade effects are particularly important for Germany.

Key Points

1. Empirical Approach

A VAR framework is used to estimate growth spillovers, with an identification scheme similar to Bayoumi and Swiston (2009).
The study includes 17 countries (representing ~60% of global GDP), with 11 euro area countries and 4 other major economies.
The Choleski ordering is applied to identify the structure of shocks and their effects on GDP growth.

2. Dynamic Growth Contribution

The dynamic contribution of each country to GDP growth is calculated using a moving average (MA) representation.
The annualized contribution is derived using compounding rules.
The orderings of countries are based on their size, resulting in 48 different orderings for the analysis.

3. Transmission Channels

Counterfactual analysis is used to isolate the direct impact of shocks from one country to another, excluding third-country effects.
Country-wise VAR models with exports as an additional variable are employed to assess the importance of trade channels.
Financial channels (interest rates, bond yields, equity prices) are found to be more significant than trade channels in the transmission of growth spillovers.

4. Country-Specific Spillovers

Large countries (U.S., Japan, Germany) are more likely to be leading countries in terms of growth spillovers.
Small countries (e.g., Canada, Netherlands, Belgium) have limited spillover effects.
Intermediate countries (e.g., UK, France, Italy, Spain) have moderate spillover effects, with Spain's role changing from positive to negative in the recovery.

5. Determinants of Spillover Size

Spillover size is influenced by country size and the domestic demand contribution.
Countries with autonomous domestic demand tend to generate larger spillovers.
Countries with high sensitivity to external shocks (like Germany) have smaller independent impacts on other countries.

Limitations and Considerations

The analysis is backward-looking and does not account for continuous time-varying relationships.
Fiscal spillovers within Europe are mentioned but not analyzed in detail.
FDI spillovers are noted as a potential area for future research, as they could have long-term effects.
Dimensionality constraints are addressed using four approaches: Bayesian VARs, factor model VARs, global VARs, and regional groupings.

Conclusion

The paper concludes that while the U.S. and Japan are the main sources of growth spillovers, Germany plays a crucial role in transmitting and amplifying these shocks within Europe. The results highlight the importance of financial channels and the changing nature of spillovers over time, particularly in response to shifts in domestic demand and global economic conditions.