The Global Impact of the Systemic Economies and MENA Business Cycles
International Monetary Fund, Oct 25, 2012 - Business & Economics - 40 pages
This paper analyzes spillovers from macroeconomic shocks in systemic economies (China, the Euro Area, and the United States) to the Middle East and North Africa (MENA) region as well as outward spillovers from a GDP shock in the Gulf Cooperation Council (GCC) countries and MENA oil exporters to the rest of the world. This analysis is based on a Global Vector Autoregression (GVAR) model, estimated for 38 countries/regions over the period 1979Q2 to 2011Q2. Spillovers are transmitted across economies via trade, financial, and commodity price linkages. The results show that the MENA countries are more sensitive to developments in China than to shocks in the Euro Area or the United States, in line with the direction of evolving trade patterns and the emergence of China as a key driver of the global economy. Outward spillovers from the GCC region and MENA oil exporters are likely to be stronger in their immediate geographical proximity, but also have global implications.
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18 countries Akaike Information Criterion Australia bootstrapped Canada China coefﬁcients cointegrating relations country-speciﬁc models effect being statistically Egypt error bands Euro Area ﬁrst foreign and global GCC Countries global model global variables GVAR model I I I impact Impulse Responses Indonesia inﬂuence Iran Japan Jordan Korea lag orders Libya long-run relations Malaysia Mashreq Mauritania median effects MENA countries MENA region Morocco Negative USA Negative Nigeria null hypothesis number of cointegrating oil exporters oil prices output shock Overall parameter constancy persistence proﬁles Peru Pesaran Philippines PKmsq prices and production rejection rate reported in Table root tests signiﬁcance level simulated critical values Singapore speciﬁcation speed of convergence spillovers statistically signiﬁcant structural breaks Syria system-wide shocks tend to zero Thailand trace statistic trace test statistics Trade Weights Averaged Tunisia U.S. GDP unit root values from MacKinnon variables are weakly VARX*(s weak exogeneity assumption weakly exogenous world oil