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The Impact of International Spillovers on the South African Economy

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Abstract

This paper estimates a multi-country vector autoregressive model (VAR) using South African, the euro area, the United States, Japan and China industrial production in order to determine the impact of business cycle spillovers on South Africa and the synchronisation of business cycles. The spillover index methodology of Diebold and Yilmaz is applied, using forecast error variance decompositions implemented over seven-year rolling windows in order to get a time evolution of the variables of interest. The results show that the South African economy has been significantly affected by international spillovers over the sample period, with the variation in South African industrial production due to spillovers from other countries or common shocks averaging 37,6 per cent. This variation peaked to an average of 62,2 per cent over the financial crisis period and remains significantly high.

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  • F Ruch, 2013. "The Impact of International Spillovers on the South African Economy," Working Papers 5705, South African Reserve Bank.
    • Handle: RePEc:rbz:wpaper:5705
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    File URL: http://www.resbank.co.za/content/dam/sarb/publications/working-papers/2013/5705/WP1302.pdf
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    Cited by:

    1. Elod Takáts & Abraham Vela, 2014. "International monetary policy transmission," BIS Papers chapters, in: Bank for International Settlements (ed.), The transmission of unconventional monetary policy to the emerging markets, volume 78, pages 25-44, Bank for International Settlements.
    2. Babajide Fowowe & Mohammed Shuaibu, 2016. "Dynamic spillovers between Nigerian, South African and international equity markets," International Economics, CEPII research center, issue 148, pages 59-80.
    3. Alex Bara & Pierre Le Roux, 2017. "South Africa's Financial Spillover Effects on Growth and Financial Development in the Southern African Development Community," International Journal of Economics and Financial Issues, Econjournals, vol. 7(5), pages 400-412.

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