The Global Impact of the Systemic Economies and MENA Business Cycles

By Paul Cashin, Kamiar Mohaddes, Mehdi Raissi

October 25, 2012

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Paul Cashin, Kamiar Mohaddes, and Mehdi Raissi. The Global Impact of the Systemic Economies and MENA Business Cycles, (USA: International Monetary Fund, 2012) accessed September 18, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

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.

Subject: Commodities, Econometric analysis, Foreign exchange, Oil, Oil prices, Oil production, Prices, Production, Real effective exchange rates, Vector autoregression

Keywords: East Africa, Europe, GCC country, Global, Global economy, Global macroeconomic modeling, Global VAR (GVAR), GVAR model, Impulse responses, Interconnectedness, International business cycle, Macroeconomic shocks, MENA region, Middle East, North Africa, Oil, Oil exporter, Oil prices, Oil production, Real effective exchange rates, Trade weight, Vector autoregression, WP

Publication Details

Pages:

40
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2012/255
Stock No:

WPIEA2012255
ISBN:

9781475581645
ISSN:

1018-5941

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