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Title: Systemic Growth-at-Risk and Growth Spread Measures

Abstract: This paper introduces two novel sets of forward-looking macroeconomic metrics – Systemic Growth-at-Risk (GaR) Measures and Growth Spread Measures – to quantify how growth risks propagate across countries and to assess the net economic benefits/costs of regional economic integration, respectively. The Systemic GaR Measures capture the transmission of downside risks between countries, while the Growth Spread Measures evaluate asymmetric growth outcomes during periods of union-wide expansions and contractions. Applying these tools to the European Union (EU), we illustrate how integration simultaneously fosters shared growth potential and heightens exposure to systemic shocks. We estimate time-varying growth distributions for 18 OECD European countries using two complementary approaches: a multivariate GARCH-Copula framework with copula-based simulation, and a GARCH-Dynamic Conditional Correlation (DCC) model combined with nonparametric bootstrap methods. These techniques generate realistic joint growth scenarios that account for both idiosyncratic shocks and cross-country interdependence. The results reveal substantial heterogeneity in the growth dividends of EU membership. Panel regressions attribute this variation to structural country characteristics such as trade openness, fiscal stance, development level, and exposure to global uncertainty. The framework extends the GaR literature into a multi-country setting, offering new insights into the dual nature of economic unions as both stabilizers and amplifiers of risk.