| Description |
1 online resource (40 pages) |
| Series |
IMF working paper ; WP/12/255 |
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IMF working paper ; WP/12/255.
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| Contents |
Cover; Contents; I. Introduction; II. The Global VAR (GVAR) Methodology; III. A Global VAR Model Including the MENA Region; A. Variables; Domestic Variables; Foreign Variables; Global Variables; B. MENA Trade Weights; C. Model Specification; D. Country-Specific Estimates and Tests; Lag Order Selection, Cointegrating Relations, and Persistence Profiles; Testing the Weak Exogeneity Assumption; Testing for Structural Breaks; IV. Inward Spillovers; A. Shock to U.S. GDP; B. Shock to Euro Area GDP; C. Shock to Chinese GDP; V. Outward Spillovers; VI. Concluding Remarks; References; Data Appendix |
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Tables1. Countries and Regions in the GVAR Model Including MENA; 2. MENA Trade Weights; 3. Variables Specification of the Country-Specific VARX* Models; 4. Lag Orders of the Country-Specific VARX*(s, s*) Models Together with the Number of Cointegrating Relations (r); 5. F-Statistics for Testing the Weak Exogeneity of the Country-Specific Foreign Variables, Oil Prices, and Oil Production; 6. Number of Rejections of the Null of Parameter Constancy per Variable Across the Country-specific Models at the 5 Percent Significance Level; 7. Trade Weights, Averages over 2006-2008 |
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8. Trade Weights, Averages over 1986-1988Figures; 1. Persistence Profiles of the Effect of a System-wide Shock to the Cointegrating Relations; 2. Four Quarters Cumulated Impulse Responses of Output to a Negative GDP Shock in the United States (Relative to the U.S.); 3. Four Quarters Cumulated Impulse Responses of Oil Prices and Supply; 4. Four Quarters Cumulated Impulse Responses of Output to a Negative GDP Shock in the Euro Area (Relative to the Euro Area); 5. Impulse Responses of a Negative Unit Shock to Euro Area Output |
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6. Four Quarters Cumulated Impulse Responses of Output to a Negative GDP Shock in China (Relative to China)7. Four Quarters Cumulated Impulse Responses of Output to a Positive GDP Shock in the GCC Region (Relative to the GCC) ; 8. Four Quarters Cumulated Impulse Responses of Output to a Positive GDP Shock in the MENA Oil Exporters (Relative to the MENAEX) |
| Summary |
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 |
| Notes |
Title from PDF title page (IMF Web site, viewed October 31, 2012) |
| Bibliography |
Includes bibliographical references |
| Notes |
"Middle East and Central Asia Department." |
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"October 2012." |
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English |
| Subject |
Business cycles -- China -- Econometric models
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Business cycles -- Europe -- Econometric models
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Business cycles -- United States -- Econometric models
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Business cycles -- Middle East -- Econometric models
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Business cycles -- Africa, North -- Econometric models
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BUSINESS & ECONOMICS -- International -- Economics.
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BUSINESS & ECONOMICS -- International -- General.
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Business cycles -- Econometric models
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North Africa
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China
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Europe
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Middle East
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United States
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| Form |
Electronic book
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| Author |
Mohaddes, Kamiar.
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Raissi, Mehdi.
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International Monetary Fund. Middle East and Central Asia Department.
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| ISBN |
9781475551914 |
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1475551916 |
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1475581645 |
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9781475581645 |
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1475596669 |
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9781475596663 |
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