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
Series: Economic Systems
Series volume: 45
Series number: 2 ; June
Year of publication: 2021
Publication date: 22.6.2021
Published in: Published in BOFIT DP 17/2018.
DOI: https://doi.org/10.1016/j.ecosys.2020.100769
Keywords: IVY-maat; ulkomaankauppa; öljy; hinnat; tuotanto; häiriöt; mallit
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 an observation period of two decades, cross-country trade and financial linkages experience notable changes. We find CIS countries to be highly sensitive to global and regional shocks, with that sensitivity increasing after the global financial crisis. CIS countries show the 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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