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Determinants of Time-Varying Sensitivity of MENA Countries to Global Shocks: A State Space Approach

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  • Bedri Kamil Onur Tas

    ()
    (TOBB ETU Department of Economics)

Abstract

This paper examines whether the mechanism by which global shocks are transmitted into MENA countries changes over time. Three main questions are investigated by implementing TVC-VAR methodology. 1) Do MENA countries respond differently to global economic shocks? 2) Do the reactions of countries to global economic shocks vary over time? 3) What are the structural factors that determine the sensitivity of a country to global shocks? The responses of countries to shocks, to global GDP and oil price are investigated. The empirical results indicate that the reaction of countries to global shocks differs significantly among MENA countries. Also, the response of an individual country varies over time. Finally, economic factors like the exchange rate regime, monetary policy, transparency of the central bank and institutional quality play significant roles in the reaction of domestic GDP to shocks, to global GDP and oil price. The results of this paper have significant policy implications especially for AGCC countries.

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Bibliographic Info

Paper provided by Economic Research Forum in its series Working Papers with number 530.

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Length: 25 pages
Date of creation: Jun 2010
Date of revision: Jun 2010
Publication status: Published by The Economic Research Forum (ERF)
Handle: RePEc:erg:wpaper:530

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