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

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Titel: The transmission of international shocks to CIS economies : A Global VAR approach
Författare: Faryna, Oleksandr ; Simola, Heli
Institution: Bank of Finland
Avdelning / Enhet: Institute for Economies in Transition (BOFIT)
Serie: BOFIT Discussion Papers
Serienumber: 17/2018
Utgivningsår: 2018
Utgivningsdatum: 30.8.2018
Publicerad i: Published in Economic Systems, Volume 45, Issue 2, June 2021, 100769
Sidor: 47
Subject (yso): häiriöt; ulkomaankauppa; öljy; hinnat; IVY-maat; tuotanto; mallit
Nyckelord: Bofit-kokoelma;
JEL: C32; F42; F43; E32
Andra nyckelord: international shocks; cross-country spillovers; CIS; Global VAR
Abstrakt: 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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