Title Global financial transmission into Sub-Saharan Africa : a global vector autoregression analysis / prepared by Jorge Canales-Kriljenko, Mehdi Hosseinkouchack, and Alexis Meyer-Cirkel

Published [Washington, D.C.] : International Monetary Fund, ©2014

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Description 1 online resource (29 pages) : color illustrations Series IMF working paper, 1018-5941 ; WP/14/241 IMF working paper ; WP/14/241. Contents Cover Page; Title Page; Copyright Page; Contents; Figures; Tables; I. Introduction; II. Literature, Economic Context, and Model; A. Literature Review; B. Developments Affecting Sub-Saharan Africa; C. The Model; III. Data and Specification Setup; 1. Countries and Regions Included in the GVAR Exercise; 2. Regional and Country-level Trade Shares; IV. Results from the Generalized Impulse Response Analysis; A. The Investor Uncertainty Channel; 1. Impulse Responses to a Positive Shock to the VIX; B. The Bank Deleveraging Channel 2. GIRF -- One s.e. Negative Shock to Credit in USA and Impact on Local Credit3. GIRF -- One s.e. Negative Shock to Credit in USA and Impact on Local Output; V. Conclusion; References; VI. Annex; A. Statistical Properties of the Series; 1A. Augmented Dickey-Fuller (ADF) Unit Root Tests for the Domestic Variables at the 5% Significance Level; 2A. VARX Order of Individual Models and Cointegrating Relationships; 3A. Test for Weak Exogeneity (5% Significance Level); B. Additional Results; 1A. GIRF -- One s.e. Negative Shock to Credit in EUR and Impact on Local Credit 2A. GIRF -- One s.e. Negative Shock to Output in EUR and Impact on Local Output3A. GIRF -- One s.e. Negative Shock to Output in USA and Impact on Local Output; 4A. Regional and Country-level Export Shares: 1990-2000; Footnotes Summary Sub-Saharan African countries are exposed to spillovers from global financial variables, but the impact on economic activity is more significant in more financially developed economies. Generalized impulse responses from a GVAR exercise demonstrate how the CBOE volatility index (VIX) and credit conditions around the globe impact a subset of sub-Saharan African economies and regions. The estimated relationships suggest that the effect of global uncertainty is more pervasive in exports, with the impact on economic and lending activities being mixed. The channels of transmission include the effects of global financial variables on commodity prices and on trading-partner's macroeconomic and financial variables. The analysis suggests that shocks to credit conditions in the euro area and the U.S. have not significantly affected local lending conditions or economic activity in sub-Saharan Africa during 1991-2011, except perhaps in South Africa.--Abstract Notes "December 2014." "African Department." Bibliography Includes bibliographical references (pages 20-21) Notes English Online resource; title from pdf title page (IMF.org Web site, viewed January 5, 2015) Subject Capital movements -- Africa, Sub-Saharan -- Econometric models Externalities (Economics) -- Econometric models Financial crises -- Developed countries -- Econometric models Economic development -- Africa, Sub-Saharan -- Econometric models Capital movements -- Econometric models Economic development -- Econometric models Economic history Externalities (Economics) -- Econometric models Financial crises -- Econometric models SUBJECT Africa, Sub-Saharan -- Economic conditions -- Econometric models Subject Sub-Saharan Africa Developed countries Form Electronic book Author Hosseinkouchack, Mehdi, issuing body. Meyer Cirkel, Alexis, issuing body. International Monetary Fund. African Department, issuing body. ISBN 9781498393072 1498393071 1498305059 9781498305051

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