08186oam 22015734 450 991096153840332120250426110509.09781475532302147553230X97814755966631475596669(CKB)2550000001041558(EBL)1607036(SSID)ssj0000960552(PQKBManifestationID)11542361(PQKBTitleCode)TC0000960552(PQKBWorkID)10949790(PQKB)11703716(Au-PeEL)EBL1607036(CaPaEBR)ebr10661249(OCoLC)815561573(IMF)WPIEE2012255(IMF)WPIEA2012255(MiAaPQ)EBC1607036WPIEA2012255(EXLCZ)99255000000104155820020129d2012 uf 0engur|n|---|||||txtccrThe Global Impact of the Systemic Economies and MENA Business Cycles /Paul Cashin, Kamiar Mohaddes, Mehdi Raissi1st ed.Washington, D.C. :International Monetary Fund,2012.1 online resource (41 p.)IMF Working PapersDescription based upon print version of record.9781475551914 1475551916 9781475581645 1475581645 Includes bibliographical references.Cover; Contents; I. Introduction; II. The Global VAR (GVAR) Methodology; III. A Global VAR Model Including the MENA Region; Tables; 1. Countries and Regions in the GVAR Model Including MENA; A. Variables; Domestic Variables; Foreign Variables; Global Variables; B. MENA Trade Weights; 2. MENA Trade Weights; C. Model Specification; 3. Variables Specification of the Country-Specific VARX* Models; D. Country-Specific Estimates and Tests; Lag Order Selection, Cointegrating Relations, and Persistence Profiles4. Lag Orders of the Country-Specific VARX*(s,s*) Models Together with the Number of Cointegrating Relations (r)Testing the Weak Exogeneity Assumption; Figures; 1. Persistence Profiles of the Effect of a System-wide Shock to the Cointegrating Relations; Testing for Structural Breaks; 5. F-Statistics for Testing the Weak Exogeneity of the Country-Specific Foreign Variables, Oil Prices, and Oil Production; 6. Number of Rejections of the Null of Parameter Constancy per Variable Across the Country-specific Models at the 5 Percent Significance Level; IV. Inward Spillovers; A. Shock to U.S. GDP2. Four Quarters Cumulated Impulse Responses of Output to a Negative GDP Shock in the United States (Relative to the U.S.)3. Four Quarters Cumulated Impulse Responses of Oil Prices and Supply; B. Shock to Euro Area GDP; 4. Four Quarters Cumulated Impulse Responses of Output to a Negative GDP Shock in the Euro Area (Relative to the Euro Area); 5. Impulse Responses of a Negative Unit Shock to Euro Area Output; C. Shock to Chinese GDP; 6. Four Quarters Cumulated Impulse Responses of Output to a Negative GDP Shock in China (Relative to China); V. Outward Spillovers7. Four Quarters Cumulated Impulse Responses of Output to a Positive GDP Shock in the GCC Region (Relative to the GCC)8. Four Quarters Cumulated Impulse Responses of Output to a Positive GDP Shock in the MENA Oil Exporters (Relative to the MENAEX); VI. Concluding Remarks; References; Data Appendix; 7. Trade Weights, Averages over 2006-2008; 8. Trade Weights, Averages over 1986-1988This paper analyzes spillovers from macroeconomic shocks in systemic economies (China, the Euro Area, and the United States) to the Middle East and North Africa (MENA) region as well as outward spillovers from a GDP shock in the Gulf Cooperation Council (GCC) countries and MENA oil exporters to the rest of the world. This analysis is based on a Global Vector Autoregression (GVAR) model, estimated for 38 countries/regions over the period 1979Q2 to 2011Q2. Spillovers are transmitted across economies via trade, financial, and commodity price linkages. The results show that the MENA countries are more sensitive to developments in China than to shocks in the Euro Area or the United States, in line with the direction of evolving trade patterns and the emergence of China as a key driver of the global economy. Outward spillovers from the GCC region and MENA oil exporters are likely to be stronger in their immediate geographical proximity, but also have global implications.IMF Working Papers; Working Paper ;No. 2012/255Business cyclesChinaEconometric modelsBusiness cyclesUnited StatedEconometric modelsBusiness cyclesMiddle EastEconometric modelsBusiness cyclesAfrica, NorthEconometric modelsBusiness FluctuationsimfCommoditiesimfCurrencyimfCyclesimfDiffusion ProcessesimfDynamic Quantile RegressionsimfDynamic Treatment Effect ModelsimfEconometric analysisimfEconometrics & economic statisticsimfEconometricsimfEconomywide Country Studies: Asia including Middle EastimfEnergy: Demand and SupplyimfEnergy: GeneralimfForeign ExchangeimfForeign exchangeimfGeneral Aggregative Models: Forecasting and SimulationimfIndustries: EnergyimfInternational Business CyclesimfInvestment & securitiesimfInvestments: EnergyimfMacroeconomicsimfMacroeconomics: ProductionimfOil pricesimfOil productionimfOilimfPetroleum industry and tradeimfPetroleum, oil & gas industriesimfPricesimfProductionimfReal effective exchange ratesimfState Space ModelsimfTime-Series ModelsimfVector autoregressionimfBusiness cyclesEuropeEconometric modelsUnited StatesimfBusiness cyclesEconometric models.Business cyclesEconometric models.Business cyclesEconometric models.Business cyclesEconometric models.Business FluctuationsCommoditiesCurrencyCyclesDiffusion ProcessesDynamic Quantile RegressionsDynamic Treatment Effect ModelsEconometric analysisEconometrics & economic statisticsEconometricsEconomywide Country Studies: Asia including Middle EastEnergy: Demand and SupplyEnergy: GeneralForeign ExchangeForeign exchangeGeneral Aggregative Models: Forecasting and SimulationIndustries: EnergyInternational Business CyclesInvestment & securitiesInvestments: EnergyMacroeconomicsMacroeconomics: ProductionOil pricesOil productionOilPetroleum industry and tradePetroleum, oil & gas industriesPricesProductionReal effective exchange ratesState Space ModelsTime-Series ModelsVector autoregression332.1532Cashin Paul1813246Mohaddes Kamiar1815621Raissi Mehdi1815622DcWaIMFBOOK9910961538403321The Global Impact of the Systemic Economies and MENA Business Cycles4371083UNINA