The transmission of international shocks to CIS economies: A Global VAR approach

Arbeitspapier

This paper employs a Global Vector Auto Regressive (GVAR) model to study the evolution of the response of the Commonwealth of Independent States (CIS) to foreign output and oil price shocks. During a two-decade observation period, cross-country trade and financial linkages experience no-table changes. We find CIS countries highly sensitive to global and regional shocks, with that sensitivity increasing after the global financial crisis. CIS countries show strongest responses to output shocks originating in the US, Russia and within the region itself, but their sensitivity to euro area shocks also increases substantially. Despite growing trade relations with China, the responses of CIS countries to output shocks originating in China are still relatively moderate.

Object Details

• ISBN: 978-952-323-239-6
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: BOFIT Discussion Papers ; No. 17/2018

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; International Policy Coordination and Transmission ; Economic Growth of Open Economies ; Business Fluctuations; Cycles

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Faryna, Oleksandr ; Simola, Heli
• Event: Veröffentlichung
• (who): Bank of Finland, Institute for Economies in Transition (BOFIT)
• (where): Helsinki
• (when): 2018

Further information

• Handle: http://hdl.handle.net/10419/212902
• Last update: 10.03.2025, 11:44 AM CET