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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84th percentile error Algeria annual percent change Bahrain Business Cycles China cointegrating relations Cumulated Impulse Responses Dees Depicts annual percent domestic variables East and North Ecuador effective exchange rate Egypt emergence of China error bands Esfahani Euro Area GDP Figure foreign variables Four Quarters Cumulated GCC region given country associated global economy global variables Gulf Cooperation Council GVAR model included International Monetary Fund Iran Jordan lag orders Libya M. H. Pesaran macroeconomic Maghreb major oil exporters Mashreq Mauritania MENA countries MENA oil exporters MENA region Middle East Mohaddes Negative GDP Shock negative U.S. number of cointegrating oil prices output shock outward spillovers percentile error bands Persistence Profiles Positive GDP Shock Qatar Quarters Cumulated Impulse Raissi real effective exchange Responses of Output Shock to Euro statistically significant Syria systemic countries systemic economies Table Trade Weights Averaged Tunisia United States dollar VARX vector Weakly exogenous world oil