Open Economies Review

, Volume 27, Issue 2, pp 359–385 | Cite as

The Spillover Effect of Euro Area on Central and Southeastern European Economies: A Global VAR Approach

  • Jan Hájek
  • Roman Horváth
Research Article


We use the global vector autoregression model to examine macroeconomic spillovers within the European Union over the period 2000-2014. We investigate how shocks originating in the euro area affect output and prices in the rest of Europe. We examine four different policy relevant shock scenarios: (i) increase in the euro area interest rate; (ii) increase in the euro area industrial production; (iii) decrease in the euro area consumer prices and (iv) decrease in global oil prices. In general, we find that these shocks have an effect of same (and expected) sign but of different size across the European Union. Our results suggest that the response of Central European countries to the euro area shocks is almost as strong as the response of the euro area countries itself. On the other hand, our results indicate that South East Europe is somewhat less sensitive to the euro area shocks and oil price shocks.


Global VAR Monetary policy International transmission of shocks Euro area Central and Southeastern Europe Foreign shocks 

JEL Classification

C32 E31 E32 F42 



We thank the anonymous referee, Christina Strobach, George Tavlas and seminar participants at INFER Workshop on The European Integration and Its International Dimension (Cologne, Germany) for helpful comments. Hajek has been supported by the Grant Agency of the Charles University, no. 238515. Horvath appreciates the support from the Grant Agency of the Czech Republic, no. P402/12/G097. The views do not represent the official position of Czech National Bank.


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Copyright information

© Springer Science+Business Media New York 2015

Authors and Affiliations

  1. 1.Czech National BankPrague 1Czech Republic
  2. 2.Institute of Economic StudiesCharles UniversityPrague 1Czech Republic

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