The transmission of international shocks to CIS economies : A Global VAR approach

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Title: The transmission of international shocks to CIS economies : A Global VAR approach
Author: Faryna, Oleksandr ; Simola, Heli
Organization: Bank of Finland
Department / Unit: Institute for Economies in Transition (BOFIT)
Series: BOFIT Discussion Papers
Series number: 17/2018
Year of publication: 2018
Publication date: 30.8.2018
Published in: Published in Economic Systems, Volume 45, Issue 2, June 2021, 100769
Pages: 47
Subject (yso): häiriöt; ulkomaankauppa; öljy; hinnat; IVY-maat; tuotanto; mallit
Keywords: Bofit-kokoelma;
JEL: C32; F42; F43; E32
Other keywords: international shocks; cross-country spillovers; CIS; Global VAR
Abstract: This paper employs a Global Vector Auto Regressive (GVAR) model to study the evolution of the response of the Commonwealth of Independent States (CIS) to foreign output and oil price shocks. During a two-decade observation period, cross-country trade and financial linkages experience no-table changes. We find CIS countries highly sensitive to global and regional shocks, with that sensitivity increasing after the global financial crisis. CIS countries show strongest responses to output shocks originating in the US, Russia and within the region itself, but their sensitivity to euro area shocks also increases substantially. Despite growing trade relations with China, the responses of CIS countries to output shocks originating in China are still relatively moderate.

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