IDEAS home Printed from https://ideas.repec.org/p/erg/wpaper/530.html
   My bibliography  Save this paper

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

Author

Listed:
  • 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.

Suggested Citation

  • Bedri Kamil Onur Tas, 2010. "Determinants of Time-Varying Sensitivity of MENA Countries to Global Shocks: A State Space Approach," Working Papers 530, Economic Research Forum, revised 06 Jan 2010.
  • Handle: RePEc:erg:wpaper:530
    as

    Download full text from publisher

    File URL: http://erf.org.eg/wp-content/uploads/2014/08/530.pdf
    Download Restriction: no

    File URL: http://bit.ly/2mXggpy
    Download Restriction: no

    References listed on IDEAS

    as
    1. Peter N. Ireland, 2007. "Changes in the Federal Reserve's Inflation Target: Causes and Consequences," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(8), pages 1851-1882, December.
    2. 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.
    3. Louis, Rosmy & Balli, Faruk & Osman, Mohammad, 2008. "Monetary Union Among Arab Gulf Cooperation Council (AGCC) Countries: Does the symmetry of shocks extend to the non-oil sector?," MPRA Paper 11611, University Library of Munich, Germany.
    4. Edwards, Sebastian & Levy Yeyati, Eduardo, 2005. "Flexible exchange rates as shock absorbers," European Economic Review, Elsevier, vol. 49(8), pages 2079-2105, November.
    5. Nergiz Dincer & Barry Eichengreen, 2009. "Central Bank Transparency: Causes, Consequences and Updates," NBER Working Papers 14791, National Bureau of Economic Research, Inc.
    6. Kim, Soyoung, 2001. "International transmission of U.S. monetary policy shocks: Evidence from VAR's," Journal of Monetary Economics, Elsevier, vol. 48(2), pages 339-372, October.
    7. Leigh, Daniel, 2008. "Estimating the Federal Reserve's implicit inflation target: A state space approach," Journal of Economic Dynamics and Control, Elsevier, vol. 32(6), pages 2013-2030, June.
    8. Imbs, Jean, 2006. "The real effects of financial integration," Journal of International Economics, Elsevier, vol. 68(2), pages 296-324, March.
    9. Daron Acemoglu & Simon Johnson, 2005. "Unbundling Institutions," Journal of Political Economy, University of Chicago Press, vol. 113(5), pages 949-995, October.
    10. Florian Hoppner & Christian Melzer & Thorsten Neumann, 2008. "Changing effects of monetary policy in the US-evidence from a time-varying coefficient VAR," Applied Economics, Taylor & Francis Journals, vol. 40(18), pages 2353-2360.
    11. Takatoshi Ito & Andrew K. Rose, 2008. "International Financial Issues in the Pacific Rim: Global Imbalances, Financial Liberalization, and Exchange Rate Policy (NBER-EASE Volume 17)," NBER Books, National Bureau of Economic Research, Inc, number ito_08-1, April.
    12. Flood, Robert P. & Rose, Andrew K., 2010. "Inflation targeting and business cycle synchronization," Journal of International Money and Finance, Elsevier, vol. 29(4), pages 704-727, June.
    13. Berument Hakan & Ceylan Nildag Basak, 2008. "US Monetary Policy Surprises and Foreign Interest Rates: Evidence from a Set of MENA Countries," Review of Middle East Economics and Finance, De Gruyter, vol. 4(2), pages 117-133, April.
    14. Özlale, Ümit & Özbek, Levent, 2008. "Analyzing time-varying effects of potential output growth shocks," Economics Letters, Elsevier, vol. 98(3), pages 294-300, March.
    15. Takatoshi Ito & Andrew K. Rose, 2008. "Introduction to "International Financial Issues in the Pacific Rim: Global Imbalances, Financial Liberalization, and Exchange Rate Policy (NBER-EASE Volume 17)"," NBER Chapters,in: International Financial Issues in the Pacific Rim: Global Imbalances, Financial Liberalization, and Exchange Rate Policy (NBER-EASE Volume 17), pages 1-9 National Bureau of Economic Research, Inc.
    Full references (including those not matched with items on IDEAS)

    More about this item

    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:erg:wpaper:530. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sherine Ghoneim). General contact details of provider: http://edirc.repec.org/data/erfaceg.html .

    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 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.