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Linkages between the euro zone and the south-eastern European countries: a global VAR analysis

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  • Minoas Koukouritakis

    (University of Crete)

  • Athanasios P. Papadopoulos

    ()
    (University of Crete)

  • Andreas Yannopoulos

    (University of Crete)

Abstract

In the present paper we assess the impact of the Eurozone’s economic policies on specific South-Eastern European countries, namely Bulgaria, Croatia, Cyprus, Greece, Romania, Slovenia and Turkey. Since these countries are connected to the EU or the Eurozone and economic interdependence among them is continuously evolving, we implemented a Global VAR model. Our results indicate that all sample countries, except Turkey, react in a similar manner to changes (a) in the macroeconomic policies of the Eurozone, and (b) in the nominal exchange rate of the euro against the US dollar. There is evidence of linkages among the EU or Eurozone members of the region, and between each of them and the Eurozone.

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Bibliographic Info

Paper provided by Bank of Greece in its series Working Papers with number 163.

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Length: 42
Date of creation: Oct 2013
Date of revision:
Handle: RePEc:bog:wpaper:163

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Keywords: Monetary Transmission; Global VAR Model; Weak Exogeneity; Impact Elasticities; Generalised Impulse Responses.;

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  1. M. Hashem Pesaran & Til Schuermann & Scott M. Weiner, 2001. "Modelling regional interdependencies using a global error-correcting macroeconometric model," 10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data B4-1, International Conferences on Panel Data.
  2. M. Hashem Pesaran & Ron P. Smith, 2006. "Macroeconometric Modelling with a Global Perspective," CESifo Working Paper Series 1659, CESifo Group Munich.
  3. Johansen, Soren, 1992. "Cointegration in partial systems and the efficiency of single-equation analysis," Journal of Econometrics, Elsevier, Elsevier, vol. 52(3), pages 389-402, June.
  4. Harbo, Ingrid, et al, 1998. "Asymptotic Inference on Cointegrating Rank in Partial Systems," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 16(4), pages 388-99, October.
  5. Pesaran, M.H. & Shin, Y., 1993. "Cointegration and Speed of Convergence to Equilibrium," Cambridge Working Papers in Economics 9311, Faculty of Economics, University of Cambridge.
  6. Pesaran, M. H. & Shin, Y. & Smith, R. J., 1997. "Structural Analysis of Vector Error Correction Models with Exogenous I(1) Variables," Cambridge Working Papers in Economics 9706, Faculty of Economics, University of Cambridge.
  7. Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, Elsevier, vol. 74(1), pages 119-147, September.
  8. Feldkircher, Martin & Korhonen, Iikka, 2012. "The rise of China and its implications for emerging markets - Evidence from a GVAR model," BOFIT Discussion Papers, Bank of Finland, Institute for Economies in Transition 20/2012, Bank of Finland, Institute for Economies in Transition.
  9. Pesaran, H. Hashem & Shin, Yongcheol, 1998. "Generalized impulse response analysis in linear multivariate models," Economics Letters, Elsevier, Elsevier, vol. 58(1), pages 17-29, January.
  10. Matthieu Bussière & Alexander Chudik & Giulia Sestieri, 2012. "Modelling global trade flows: results from a GVAR model," Globalization and Monetary Policy Institute Working Paper 119, Federal Reserve Bank of Dallas.
  11. Silvia Sgherri & Alessandro Galesi, 2009. "Regional Financial Spillovers Across Europe," IMF Working Papers 09/23, International Monetary Fund.
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Cited by:
  1. Prettner, Catherine & Prettner, Klaus, 2014. "How interdependent are Eastern European economies and the Euro area?," Center for European, Governance and Economic Development Research Discussion Papers 187, University of Goettingen, Department of Economics.

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