## Global Financial Transmission into Sub-Saharan Africa – A Global Vector Autoregression Analysis

_IMF Working Papers, December 29, 2014_

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## Bibliographic details
- Authors: Jorge I Canales Kriljenko, Mehdi Hosseinkouchack, Alexis Meyer-Cirkel
- Published: December 29, 2014
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781498305051.001

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### Main findings
- Sub-Saharan African countries are exposed to spillovers from global financial variables.
- 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 effect of global uncertainty is more pervasive in exports.
- The impact on economic and lending activities is mixed.
- 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.

### Channels of transmission identified
- Effects of global financial variables on commodity prices.
- Effects of global financial variables on trading-partner’s macroeconomic and financial variables.

### Scope, methods, and data notes
- Methodology: Global Vector Autoregression (GVAR) with generalized impulse responses.
- Global financial variables highlighted: CBOE volatility index (VIX) and global credit conditions.
- Time coverage referenced for shock analysis: 1991-2011.
- Analysis focused on a subset of sub-Saharan African economies and regions; effects vary with domestic financial development.

### Subjects and keywords (as stated)
- Subject: Commodity prices, Econometric analysis, Exports, Financial crises, Financial sector policy and analysis, Global financial crisis of 2008-2009, International trade, Prices, Spillovers, Vector autoregression
- Keywords: Africa, CBOE Volatility Index, commodity exporter, Commodity prices, East Africa, economic system, Europe, Exports, Financial Transmission, Global, Global financial crisis of 2008-2009, GVAR, market destination, output development, real GDP, Spillovers, Sub-Saharan Africa, sub-Saharan Africa country group, trading partner, Vector autoregression, WP

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_Source: https://www.imf.org/en/publications/wp/issues/2016/12/31/global-financial-transmission-into-sub-saharan-africa-a-global-vector-autoregression-analysis-42566_