earlier, the model is estimated for each EFM as a spillover destination, one at a time. Thus, to estimate spillovers from EM7 as a group to each EFM, we include the following variables in the VAR, in this order: G7 growth, EMBI, EM7 growth (spillover source), trade-weighted commodity prices, EFM growth (spillover destination), and EFM real effective exchange rate. The ordering closely follows the aggregate model. Ordering real effective exchange rates last is standard in the literature (e.g. Ilzetzki, Mendoza, and Vegh 2013).

Since the country model is estimated for each spillover destination, we can include countryspecific variables which are tailored to that particular spillover destination —a strategy not available in the aggregate models. Thus, the country model includes trade-weighted commodity prices (instead of oil prices as in the aggregate model) and real effective exchange rates (not available for an aggregate country group). Including exchange rates in the model is consistent with small economy DSGE models such as Galí and Monacelli (2005) and Lubik and Schorfheide (2007). The weights are the average share of exports during 2007-14 of each commodity in the commodity export basket of the spillover destination country in question.

Having a larger set of variables in the country model, however, would result in a loss of degrees of freedom. Thus, for the sake of model parsimony, the country model includes only EMBI as a proxy for global financing conditions and leaves out the U.S. interest rates. Our main results are, however, robust to including only U.S. interest rates as a proxy for global financial conditions, or including both EMBI and U.S. rates. As in the case of the aggregate model, spillovers from individual EM7, as spillover source, are estimated by including the EM7 economy in question while controlling for aggregate growth in the rest of EM7, one at a time.

# 2.2 Database

The estimation uses a balanced panel of quarterly observations for 30 economies between 2000Q1 and 2015Q2 (see Table A1 in the Supplementary Appendix). Real GDP for some of these economies is based on the quarterly database in Ilzetzki, Mendoza, and Vegh (2013) which is extended to 2015Q2 using the OECD Quarterly National Accounts and Haver Analytics. Real GDP data for the remainder of the economies are sourced from the OECD Quarterly National Accounts and Haver Analytics. Real effective exchange rates are the narrow (wherever available) and the broad indices from the Bank for International Settlements (BIS) supplemented with the Bruegel database. The EMBI spread series is taken from J.P. Morgan. The U.S. long-term interest rate is the 10year generic government yields from Bloomberg. Nominal oil prices are obtained from the World Bank Pink Sheet and deflated using seasonally adjusted U.S. CPI series from Haver Analytics. A balanced panel of the GDP series and the EMBI is available from 1998, but we start the sample in 2000 to avoid the immediate periods following the Asian crisis of 1997 and the Russian crisis of 1998. Table A2 in the Supplementary Appendix provides more details of the variables used in this paper.

The trade-weighted commodity prices for each EFM are constructed as follows: nominal monthly prices of 35 commodities are obtained from the World Bank pink sheet. As in the case of oil prices, these nominal commodity prices are deflated by the U.S. CPI. The resulting real prices are converted into indices by setting January 2010 as 100. Then, the monthly indices are converted into quarterly indices by taking averages across the months in a given quarter. Country-specific trade weights are then applied to these real quarterly commodity price indices to yield a trade-weighted real commodity price index for each country. For a given country, the trade weights are the average 6