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Eastern Europe In The World Economy : A Global Var Analysis

Author

Listed:
  • Moisă ALTAR

    () (The Bucharest University of Economic Studies, The Romanian - American University – FINSYS)

  • Adrian IFRIM

    () (The Romanian – American University - FINSYS)

  • Adam-Nelu ALTAR - SAMUEL

    () (The Romanian – American University, Bucharest, Romania)

Abstract

This paper investigates the effects of international shocks on three Eastern European emerging countries: Romania, Hungary and Poland, over the period 1998Q2-2011Q2 using a GVAR model. Evidence based on the GVAR model showed the importance of second and higher order effects, in the international transmission mechanism of shocks from the U.S. to Eastern European countries. The results of generalized impulse response functions (GIRFs) suggest that the U.S. equity shocks are transmitted very fast to others markets and that the Eastern European equity markets tend to overshoot the U.S. response. The U.S. adverse equity and output shocks revealed asymmetric responses and greater volatility of real exchange rates in the countries of Eastern Europe compared to the Euro Area, suggesting a “flight to quality” from emerging to developed economies. At the same time, the shocks originating from the Euro Area have limited effects on the countries of focus, and tend not to be amplified over time, implying that the effects of shocks could be compensated among the members of the region.

Suggested Citation

  • Moisă ALTAR & Adrian IFRIM & Adam-Nelu ALTAR - SAMUEL, 2015. "Eastern Europe In The World Economy : A Global Var Analysis," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 5-26, September.
  • Handle: RePEc:rjr:romjef:v::y:2015:i:3:p:5-26
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    References listed on IDEAS

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    1. repec:rjr:romjef:v::y:2017:i:4:p:60-83 is not listed on IDEAS

    More about this item

    Keywords

    GVAR; emerging markets; spillovers; global interdependencies; impulse responses;

    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
    • F44 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Business Cycles
    • O52 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Europe

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