Score contribution per author:
α: calibrated so average coauthorship-adjusted count equals average raw count
The standard procedure for quantifying spillover effects of changes in economic fundamentals among separate regions (or countries) is to link the regions through predetermined weights – for example through fixed weighted trade indices or fixed spatial weights based on geographical distance. We provide a method for quantifying spillover effects among the U.S., the euro area, and the U.K. using spatial weights that are determined endogenously. We specify a new spatially augmented VAR model and we introduce a Bayesian estimation technique to freely estimate and quantify spatial interactions. We are able to quantify the effects of shocks to economic fundamentals in the three regions considered without imposing a priori restrictions on the size and directions of the spillovers. To illustrate our technique, we quantify the spillover effects of a series of shocks, including the recent rises in inflation and money supply shocks, in each of the three regions under consideration on the other regions.