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

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  • Faryna, Oleksandr
  • Simola, Heli

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.

Suggested Citation

  • Faryna, Oleksandr & Simola, Heli, 2021. "The transmission of international shocks to CIS economies: A global VAR approach," Economic Systems, Elsevier, vol. 45(2).
    • Handle: RePEc:eee:ecosys:v:45:y:2021:i:2:s0939362520300765
    DOI: 10.1016/j.ecosys.2020.100769
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    More about this item

    Keywords

    International shocks; Cross-country spillovers; CIS; Global VAR;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission
    • F43 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Economic Growth of Open Economies
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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