IDEAS home Printed from https://ideas.repec.org/p/rza/wpaper/250.html
   My bibliography  Save this paper

Trade Shocks from BRIC to South Africa: A Global VAR Analysis

Author

Listed:
  • Alain Kabundi
  • Mustafa Y. Çakir

Abstract

This paper studies the trade linkages between South Africa and the BRIC (Brazil, Russia, India, and China) countries. We apply a global vector autoregressive model (global VAR) to investigate the degree of trade linkages and shock trans- mission between South Africa and the BRIC countries over the period 1995Q1-2009Q4. The model contains 32 countries and […]

Suggested Citation

  • Alain Kabundi & Mustafa Y. Çakir, 2011. "Trade Shocks from BRIC to South Africa: A Global VAR Analysis," Working Papers 250, Economic Research Southern Africa.
  • Handle: RePEc:rza:wpaper:250
    as

    Download full text from publisher

    File URL: https://econrsa.org/wp-content/uploads/2022/06/wp250.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Pesaran, M. Hashem & Shin, Yongcheol & Smith, Richard J., 2000. "Structural analysis of vector error correction models with exogenous I(1) variables," Journal of Econometrics, Elsevier, vol. 97(2), pages 293-343, August.
    2. Frankel, Jeffrey A & Rose, Andrew K, 1998. "The Endogeneity of the Optimum Currency Area Criteria," Economic Journal, Royal Economic Society, vol. 108(449), pages 1009-1025, July.
    3. Baxter, Marianne & Kouparitsas, Michael A., 2005. "Determinants of business cycle comovement: a robust analysis," Journal of Monetary Economics, Elsevier, vol. 52(1), pages 113-157, January.
    4. Fabio Canova & Matteo Ciccarelli, 2009. "Estimating Multicountry Var Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 50(3), pages 929-959, August.
    5. Easterly, William, 2007. "Inequality does cause underdevelopment: Insights from a new instrument," Journal of Development Economics, Elsevier, vol. 84(2), pages 755-776, November.
    6. Torres,Francisco & Giavazzi,Francesco (ed.), 1993. "Adjustment and Growth in the European Monetary Union," Cambridge Books, Cambridge University Press, number 9780521440196, October.
    7. Branko Milanovic & Shlomo Yitzhak, 2006. "Decomposing World Income Distribution: Does The World Have A Middle Class?," IBT Journal of Business Studies (JBS), Ilma University, Faculty of Management Science, vol. 2(2), pages 88-110.
    8. Abhijit V. Banerjee & Esther Duflo, 2008. "What Is Middle Class about the Middle Classes around the World?," Journal of Economic Perspectives, American Economic Association, vol. 22(2), pages 3-28, Spring.
    9. Pesaran, Mohammad Hashem & Holly, Sean & Dees, Stephane & Smith, L. Vanessa, 2007. "Long Run Macroeconomic Relations in the Global Economy," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 1, pages 1-20.
    10. Burstein, Ariel & Kurz, Christopher & Tesar, Linda, 2008. "Trade, production sharing, and the international transmission of business cycles," Journal of Monetary Economics, Elsevier, vol. 55(4), pages 775-795, May.
    11. Johansen, Soren, 1992. "Cointegration in partial systems and the efficiency of single-equation analysis," Journal of Econometrics, Elsevier, vol. 52(3), pages 389-402, June.
    12. Gu, Jing & Humphrey, John & Messner, Dirk, 2008. "Global Governance and Developing Countries: The Implications of the Rise of China," World Development, Elsevier, vol. 36(2), pages 274-292, February.
    13. Anthony B. Atkinson & Andrea Brandolini, 2011. "On the identification of the “middle class”," Working Papers 217, ECINEQ, Society for the Study of Economic Inequality.
    14. M. Hashem Pesaran & L. Vanessa Smith & Ron P. Smith, 2007. "What if the UK or Sweden had joined the euro in 1999? An empirical evaluation using a Global VAR," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(1), pages 55-87.
    15. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    16. McDonald, Scott & Robinson, Sherman & Thierfelder, Karen, 2008. "Asian Growth and Trade Poles: India, China, and East and Southeast Asia," World Development, Elsevier, vol. 36(2), pages 210-234, February.
    17. Harbo, Ingrid, et al, 1998. "Asymptotic Inference on Cointegrating Rank in Partial Systems," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(4), pages 388-399, October.
    18. Kristin J. Forbes & Menzie D. Chinn, 2004. "A Decomposition of Global Linkages in Financial Markets Over Time," The Review of Economics and Statistics, MIT Press, vol. 86(3), pages 705-722, August.
    19. Oded Galor & Joseph Zeira, 1993. "Income Distribution and Macroeconomics," Review of Economic Studies, Oxford University Press, vol. 60(1), pages 35-52.
    20. Kabundi, Alain & Loots, Elsabe, 2007. "Co-movement between South Africa and the Southern African Development Community: An empirical analysis," Economic Modelling, Elsevier, vol. 24(5), pages 737-748, September.
    21. Deaton, A. & Zaidi, S., 1999. "Guidelines for Constructing Consumption Aggregates for Welfare Analysis," Papers 192, Princeton, Woodrow Wilson School - Development Studies.
    22. Bussolo, Maurizio & De Hoyos, Rafael E. & Medvedev, Denis, 2008. "Is the developing world catching up ? global convergence and national rising dispersion," Policy Research Working Paper Series 4733, The World Bank.
    23. Easterly, William, 2001. "The Middle Class Consensus and Economic Development," Journal of Economic Growth, Springer, vol. 6(4), pages 317-335, December.
    24. Matthias Doepke & Fabrizio Zilibotti, 2008. "Occupational Choice and the Spirit of Capitalism," The Quarterly Journal of Economics, Oxford University Press, vol. 123(2), pages 747-793.
    25. World Bank, 2009. "World Development Indicators 2009," World Bank Publications - Books, The World Bank Group, number 4367, December.
    26. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501, Decembrie.
    27. Simon Evenett, 2007. "EU Commercial Policy in a Multipolar Trading System," Intereconomics: Review of European Economic Policy, Springer;ZBW - Leibniz Information Centre for Economics;Centre for European Policy Studies (CEPS), vol. 42(3), pages 143-155, May.
    28. AkIn, Cigdem & Kose, M. Ayhan, 2008. "Changing nature of North-South linkages: Stylized facts and explanations," Journal of Asian Economics, Elsevier, vol. 19(1), pages 1-28, February.
    29. Angus Deaton & Salman Zaidi, 2002. "Guidelines for Constructing Consumption Aggregates for Welfare Analysis," World Bank Publications, The World Bank, number 14101, April.
    30. Ballabriga, Fernando & Sebastian, Miguel & Valles, Javier, 1999. "European asymmetries," Journal of International Economics, Elsevier, vol. 48(2), pages 233-253, August.
    31. Tilak Abeysinghe & Kristin Forbes, 2005. "Trade Linkages and Output‐Multiplier Effects: a Structural VAR Approach with a Focus on Asia," Review of International Economics, Wiley Blackwell, vol. 13(2), pages 356-375, May.
    32. Christopher Brown, 2004. "Does income distribution matter for effective demand? Evidence from the United States," Review of Political Economy, Taylor & Francis Journals, vol. 16(3), pages 291-307.
    33. Kose, M. Ayhan & Yi, Kei-Mu, 2006. "Can the standard international business cycle model explain the relation between trade and comovement?," Journal of International Economics, Elsevier, vol. 68(2), pages 267-295, March.
    34. Athukorala, Prema-chandra & Yamashita, Nobuaki, 2006. "Production fragmentation and trade integration: East Asia in a global context," The North American Journal of Economics and Finance, Elsevier, vol. 17(3), pages 233-256, December.
    35. Robert J. Barro, 1999. "Determinants of Democracy," Journal of Political Economy, University of Chicago Press, vol. 107(S6), pages 158-183, December.
    36. Kei-Mu Yi, 2003. "Can Vertical Specialization Explain the Growth of World Trade?," Journal of Political Economy, University of Chicago Press, vol. 111(1), pages 52-102, February.
    37. Smith, Ron, 2009. "EMU and the Lucas Critique," Economic Modelling, Elsevier, vol. 26(4), pages 744-750, July.
    38. Vivek Arora & Athanasios Vamvakidis, 2005. "The Implications Of South African Economic Growth For The Rest Of Africa," South African Journal of Economics, Economic Society of South Africa, vol. 73(2), pages 229-242, June.
    39. Steven Pressman, 2007. "The Decline of the Middle Class: An International Perspective," Journal of Economic Issues, Taylor & Francis Journals, vol. 41(1), pages 181-200, March.
    40. Nancy Birdsall, 2010. "The (Indispensable) Middle Class in Developing Countries; or, The Rich and the Rest, Not the Poor and the Rest," Working Papers 207, Center for Global Development.
    41. Jenkins, Rhys & Edwards, Chris, 2006. "The economic impacts of China and India on sub-Saharan Africa: Trends and prospects," Journal of Asian Economics, Elsevier, vol. 17(2), pages 207-225, April.
    42. Lennart Petersson, 2005. "Export Diversification And Intra‐Industry Trade In South Africa," South African Journal of Economics, Economic Society of South Africa, vol. 73(4), pages 785-802, December.
    43. Mr. Vivek B. Arora & Mr. Athanasios Vamvakidis, 2005. "The Implications of South African Economic Growth for the Rest of Africa," IMF Working Papers 2005/058, International Monetary Fund.
    44. Frankel, Jeffrey A. & Rose, Andrew K., 1997. "Is EMU more justifiable ex post than ex ante?," European Economic Review, Elsevier, vol. 41(3-5), pages 753-760, April.
    45. Katrin Assenmacher-Wesche & Stefan Gerlach, 2008. "Monetary policy, asset prices and macroeconomic conditions : a panel-VAR study," Working Paper Research 149, National Bank of Belgium.
    46. Joe C. Davis & John H. Huston, 1992. "The Shrinking Middle-Income Class: A Multivariate Analysis," Eastern Economic Journal, Eastern Economic Association, vol. 18(3), pages 277-285, Summer.
    47. Murray Leibbrandt & Ingrid Woolard & Arden Finn & Jonathan Argent, 2010. "Trends in South African Income Distribution and Poverty since the Fall of Apartheid," OECD Social, Employment and Migration Working Papers 101, OECD Publishing.
    48. Milanovic, Branko & Yitzhaki, Shlomo, 2002. "Decomposing World Income Distribution: Does the World Have a Middle Class?," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 48(2), pages 155-178, June.
    49. Antonio Estache & D. Leipziger, 2009. "Stuck in the Middle: Is Fiscal Policy Failing the Middle Class?," ULB Institutional Repository 2013/44102, ULB -- Universite Libre de Bruxelles.
    50. World Bank, 2010. "World Development Indicators 2010," World Bank Publications - Books, The World Bank Group, number 4373, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Zuzana Brixiova & Qingwei Meng & Mthuli Ncube, 2015. "Can Intra-Regional Trade Act as a Global Shock Absorber in Africa?," World Economics, World Economics, 1 Ivory Square, Plantation Wharf, London, United Kingdom, SW11 3UE, vol. 16(3), pages 141-162, July.
    2. Deniz Sevinc & Edgar Mata Flores & Simon Collinson, 2020. "Are there inequality spillovers? Evidence through a modified inequality measure and European dynamics of inequality," Working Papers 545, ECINEQ, Society for the Study of Economic Inequality.
    3. Ekeocha, Patterson & Ogbuabor, Jonathan, 2020. "Measuring and Evaluating the Dynamics of Trade Shock Propagation in the Oceania," Conference papers 333234, Purdue University, Center for Global Trade Analysis, Global Trade Analysis Project.
    4. Adrino Mazenda, 2016. "The Effect of BRICS Trade Relations on South Africa’s Growth," EERI Research Paper Series EERI RP 2016/11, Economics and Econometrics Research Institute (EERI), Brussels.
    5. Ekeocha, Patterson & Ogbuabor, Jonathan, 2019. "Trade Shock Transmission: A Study of Selected African Economies, the BRIC and the Rest of the Global Economy," Conference papers 333085, Purdue University, Center for Global Trade Analysis, Global Trade Analysis Project.
    6. Hany Abdel-Latif & Tapas Mishra & Anita Staneva, 2019. "Arab Countries between Winter and Spring: Where Democracy Shock Goes Next!," Economies, MDPI, vol. 7(1), pages 1-19, March.
    7. Konstantakis, Konstantinos N. & Michaelides, Panayotis G. & Tsionas, Efthymios G. & Minou, Chrysanthi, 2015. "System estimation of GVAR with two dominants and network theory: Evidence for BRICs," Economic Modelling, Elsevier, vol. 51(C), pages 604-616.
    8. Biyase Mduduzi & Rooderick September, 2018. "Determinants of FDI in BRICS Countries: Panel Data Approach," Studia Universitatis Babeș-Bolyai Oeconomica, Sciendo, vol. 63(2), pages 35-48, August.
    9. Mthuli Ncube & Zuzana Brixiova & Meng Qingwei, 2014. "Working Paper 198 - Can Intra-Regional Trade Act as a Global Shock Absorber in Africa?," Working Paper Series 2104, African Development Bank.
    10. Bhattacharya, Mita & Inekwe, John Nkwoma & Valenzuela, Maria Rebecca, 2018. "Financial integration in Africa: New evidence using network approach," Economic Modelling, Elsevier, vol. 72(C), pages 379-390.
    11. Maxwell Ekor & Oluwatosin Adeniyi & Jimoh Saka, 2014. "The BRICS and Nigeria’s Economic Performance: A Trade Intensity Analysis," Economy, Asian Online Journal Publishing Group, vol. 1(2), pages 37-53.
    12. Maxwell Ekor & Oluwatosin Adeniyi & Jimoh Saka, 2014. "The BRICS and Nigeria’s Economic Performance: A Trade Intensity Analysis," Economy, Asian Online Journal Publishing Group, vol. 1(2), pages 37-53.
    13. Kinfack, Emilie & Bonga-Bonga, Lumengo, 2020. "Trade Linkages and Business Cycle Co-movement: Analysis of Trade between African Economies and their Main Trading partners," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 73(2), pages 275-306.
    14. Houssa, Romain & Mohimont, Jolan & Otrok, Christopher, 2023. "Commodity exports, financial frictions, and international spillovers," European Economic Review, Elsevier, vol. 158(C).
    15. Sinha, Avik & Sen, Sudipta, 2016. "Atmospheric consequences of trade and human development: A case of BRIC countries," MPRA Paper 100011, University Library of Munich, Germany.
    16. Khan, Nazmus Sadat, 2020. "Spillover Effects of Trade Shocks in the Central and Eastern European and Baltic Countries," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 35(1), pages 39-68.
    17. Mustafa Çakir & Alain Kabundi, 2017. "Transmission of China's Shocks to the BRIS Countries," South African Journal of Economics, Economic Society of South Africa, vol. 85(3), pages 430-454, September.
    18. Konstantakis, Konstantinos N. & Soklis, George & Michaelides, Panayotis G., 2017. "Tourism expenditures and crisis transmission: A general equilibrium GVAR analysis with network theory," Annals of Tourism Research, Elsevier, vol. 66(C), pages 74-94.
    19. Rudkin, Simon & Wong, Sen Min, 2015. "South East Asian Financial Linkages and the Changing Role of China: Insights from a Global VAR," MPRA Paper 65001, University Library of Munich, Germany.
    20. Ekor, Maxwell & Adeniyi, Oluwatosin & Saka, Jimoh, 2015. "Trade Intensity Analysis of South Africa-BRIC Economic Relations," MPRA Paper 82632, University Library of Munich, Germany.
    21. Johnson Worlanyo Ahiadorme, 2022. "On the aggregate effects of global uncertainty: Evidence from an emerging economy," South African Journal of Economics, Economic Society of South Africa, vol. 90(3), pages 390-407, September.
    22. Annari De Waal & Reneé van Eyden, 2016. "The Impact of Economic Shocks in the Rest of the World on South Africa: Evidence from a Global VAR," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(3), pages 557-573, March.
    23. Wu, Xianhua & Guo, Ji & Song, Shunfeng, 2023. "Influence of international trade disputes on the world industrial economic system based on inoperability input-output model," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 787-803.
    24. Daniel Zerfu Gurara & Mthuli Ncube, 2013. "We develop a global vector autoregressive model (GVAR) to analyze the global growth spillover effects on Africa. The model contains 46 African countries and 30 developed and emerging market countries,," Working Paper Series 981, African Development Bank.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Cesa-Bianchi, Ambrogio, 2013. "Housing cycles and macroeconomic fluctuations: A global perspective," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 215-238.
    2. Xu, T.T., 2012. "The role of credit in international business cycles," Cambridge Working Papers in Economics 1202, Faculty of Economics, University of Cambridge.
    3. Ravallion, Martin, 2010. "The Developing World's Bulging (but Vulnerable) Middle Class," World Development, Elsevier, vol. 38(4), pages 445-454, April.
    4. Mariam Shahzadi & Muhammad Faraz Riaz & Sofia Anwar & Samia Nasreen, 2017. "How unequal is the size of middle class in the rural urban areas of Punjab province," International Journal of Social Economics, Emerald Group Publishing Limited, vol. 44(2), pages 253-266, February.
    5. Pierluigi Montalbano & Silvia Nenci, 2014. "The Trade Competitiveness of Southern Emerging Economies: A Multidimensional Approach Through Cluster Analysis," The World Economy, Wiley Blackwell, vol. 37(6), pages 783-810, June.
    6. Ong, Sheue Li & Sato, Kiyotaka, 2018. "Regional or global shock? A global VAR analysis of Asian economic and financial integration," The North American Journal of Economics and Finance, Elsevier, vol. 46(C), pages 232-248.
    7. Reham Rizk & Ricardo Nogales, 2017. "Revisiting the Middle-Class Myth: Evidence From A Cross-Country Analysis of African Social Progress," Working Papers 1139, Economic Research Forum, revised 09 2003.
    8. Andy Sumner, 2012. "The Buoyant Billions: How “Middle Class†Are the New Middle Classes in Developing Countries? (And Why Does It Matter?)," Working Papers id:5169, eSocialSciences.
    9. Loayza, Norman & Rigolini, Jamele & Llorente, Gonzalo, 2012. "Do middle classes bring about institutional reforms?," Economics Letters, Elsevier, vol. 116(3), pages 440-444.
    10. Arjun Jayadev & Rahul Lahoti & Sanjay Reddy, 2015. "The Middle Muddle: Conceptualizing and Measuring the Global Middle Class," Courant Research Centre: Poverty, Equity and Growth - Discussion Papers 193, Courant Research Centre PEG.
    11. Castrén, Olli & Dées, Stéphane & Zaher, Fadi, 2010. "Stress-testing euro area corporate default probabilities using a global macroeconomic model," Journal of Financial Stability, Elsevier, vol. 6(2), pages 64-78, June.
    12. Andy Sumner, 2012. "The Buoyant Billions: How “Middle Class” Are the New Middle Classes in Developing Countries? (And Why Does It Matter?)," Working Papers 309, Center for Global Development.
    13. Cashin, Paul & Mohaddes, Kamiar & Raissi, Maziar & Raissi, Mehdi, 2014. "The differential effects of oil demand and supply shocks on the global economy," Energy Economics, Elsevier, vol. 44(C), pages 113-134.
    14. Filippo di Mauro & L. Vanessa Smith & Stephane Dees & M. Hashem Pesaran, 2007. "Exploring the international linkages of the euro area: a global VAR analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 1-38.
    15. Wong, Chin-Yoong & Eng, Yoke-Kee, 2013. "International business cycle co-movement and vertical specialization reconsidered in multistage Bayesian DSGE model," International Review of Economics & Finance, Elsevier, vol. 26(C), pages 109-124.
    16. Sofía Plata, 2020. "Impacto de la estructura fiscal en el tamaño de la clase media," Documentos de Trabajo (working papers) 0920, Department of Economics - dECON.
    17. Natalie Chun & Rana Hasan & Muhammad Habibur Rahman & Mehmet Ali Ulubaşoğlu, 2017. "The Role of Middle Class in Economic Development: What Do Cross-Country Data Show?," Review of Development Economics, Wiley Blackwell, vol. 21(2), pages 404-424, May.
    18. Chun, Natalie & Hasan, Rana & Rahman, Muhammad Habibur & Ulubaşoğlu, Mehmet A., 2016. "The role of middle class in democratic diffusion," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 536-548.
    19. Dungey, Mardi & Khan, Faisal & Raghavan, Mala, 2018. "International trade and the transmission of shocks: The case of ASEAN-4 and NIE-4 economies," Economic Modelling, Elsevier, vol. 72(C), pages 109-121.
    20. Fidrmuc, Jarko & Korhonen, Iikka, 2010. "The impact of the global financial crisis on business cycles in Asian emerging economies," Journal of Asian Economics, Elsevier, vol. 21(3), pages 293-303, June.

    More about this item

    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
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • F14 - International Economics - - Trade - - - Empirical Studies of Trade

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rza:wpaper:250. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Maggi Sigg (email available below). General contact details of provider: https://edirc.repec.org/data/ersacza.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.