Testing Shock Transmission Channels to Low-Income Developing Countries
IMF Working Papers, May 23, 2016
Source details
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- Testing Shock Transmission Channels to Low-Income Developing Countries
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Bibliographic details
- Authors: Nina Biljanovska, Alexis Meyer-Cirkel
- Published: May 23, 2016
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781484364345.001
Overview and methods
- Authors: Nina Biljanovska, Alexis Meyer-Cirkel
- Date: May 23, 2016
- Frameworks used:
- Global vector autoregressive (GVAR) framework
- Country-specific error correction models
- Dataset compiled:
- Bank credit, exports, output, and real effective exchange rate
- 24 LIDCs and 16 Advanced and Emerging Markets
- Accounting for 74 percent of World GDP
- Sample period: 1990Q1 to 2013Q4
Key findings
- Synchronization of business cycles:
- Business cycles in oil- and commodity-exporting LIDCs are more synchronized with those in emerging market economies.
- Frontier LIDCs also show greater synchronization with emerging market economies.
- Credit transmission:
- Credit conditions in the US have a significant impact on exports and real economic activity in LIDCs.
- Exports and real economic activity in LIDCs are basically unresponsive to credit availability in emerging markets or economies in other parts of the world.
- Impulse response analyses were the primary tool for assessing the dynamic responses.
Subjects and keywords
- Subjects: Commodities, Credit, Emerging and frontier financial markets, Exports, Financial markets, Foreign exchange, International trade, Money, Oil, Real effective exchange rates
- Keywords: commodity-exporting LIDCs, Credit, credit condition, Emerging and frontier financial markets, export demand equation, export partner, export series, Exports, frontier LIDCs, Global, GVAR, LICS export destination share, Low-Income Countries, Oil, output fluctuation, Real effective exchange rates, trade export share, Transmission of Shocks, WP