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Shocks Transmission in the Mediterranean Zone

Author

Listed:
  • Siliti jr Hammadi

    () (Faculty of economic sciences and management of Tunisia, university of El Manar)

  • Ben mbarek jr Hassene

    () (ESSEC business school, university of Tunis)

Abstract

This paper examines macroeconomic interdependency of the Mediterranean countries and the transmission of shocks. Using a non standard VAR model, we were able to jointly model the direct and indirect transmission mechanisms of economic fragilities and to evaluate contagion effects of shocks by computing functions of instantaneous and cumulative responses, analysing Granger-like causality links, instantaneous causality and indices of shocks transmission for each country. The results indicate that business exchanges play a determining role in transmitting economic turmoil in the short and in the long-run. Shocks transmission effects take between 12 to 34 months depending on the countries, to reach a definite end. European Mediterranean countries show signs of higher effects. Transmission indices are important for big countries reflecting a higher contagion power at play. Nevertheless, shocks transmission remains highly correlated to the trade influence of the country, rather than to its size. A high degree of synchronisation of economic activities is observed for the European Mediterranean countries which are revealed to be producers of economic fluctuations in the zone. The minimal transmission thresholds are observed for the African Mediterranean countries which are revealed to be receptors of shocks.

Suggested Citation

  • Siliti jr Hammadi & Ben mbarek jr Hassene, 2013. "Shocks Transmission in the Mediterranean Zone," Economics Bulletin, AccessEcon, vol. 33(2), pages 1010-1028.
  • Handle: RePEc:ebl:ecbull:eb-12-00793
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    File URL: http://www.accessecon.com/Pubs/EB/2013/Volume33/EB-13-V33-I2-P97.pdf
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    References listed on IDEAS

    as
    1. Marta Gómez-Puig & Simón Sosvilla-Rivero, 2011. "Causality and contagion in peripheral EMU public debt markets: a dynamic approach," Working Papers del Instituto Complutense de Estudios Internacionales 1108, Universidad Complutense de Madrid, Instituto Complutense de Estudios Internacionales.
    2. Lütkepohl, Helmut & POSKITT, D.S., 1996. "Testing for Causation Using Infinite Order Vector Autoregressive Processes," Econometric Theory, Cambridge University Press, vol. 12(01), pages 61-87, March.
    3. Lutkepohl, Helmut & Reimers, Hans-Eggert, 1992. "Granger-causality in cointegrated VAR processes The case of the term structure," Economics Letters, Elsevier, vol. 40(3), pages 263-268, November.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    macroeconomic interdependency; shock transmission; contagion; non standard VAR model;

    JEL classification:

    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • P0 - Economic Systems - - General

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