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.

量化不同区域（或国家）之间经济基本面变化的溢出效应的标准程序是通过预定的权重将区域联系起来——例如通过固定加权贸易指数或基于地理距离的固定空间权重。我们提供了一种使用内生确定的空间权重来量化美国、欧元区和英国之间溢出效应的方法。我们指定了一个新的空间增强 VAR 模型，并引入了贝叶斯估计技术来自由估计和量化空间相互作用。我们能够量化冲击对所考虑的三个地区经济基本面的影响，而无需对溢出效应的规模和方向施加先验限制。为了说明我们的技术，我们量化了所考虑的三个地区中每一个地区的一系列冲击的溢出效应，包括最近通货膨胀和货币供应冲击的上升。