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

Oleksandr Faryna and Heli Simola

Economic Systems, 2021, vol. 45, issue 2

Abstract: 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 an observation period of two decades, cross-country trade and financial linkages experience notable changes. We find CIS countries to be highly sensitive to global and regional shocks, with that sensitivity increasing after the global financial crisis. CIS countries show the 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.

Keywords: International shocks; Cross-country spillovers; CIS; Global VAR (search for similar items in EconPapers)
JEL-codes: C32 E32 F42 F43 (search for similar items in EconPapers)
Date: 2021
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Related works:
Working Paper: The Transmission of International Shocks to CIS Economies: A Global VAR Approach (2018)
Working Paper: The transmission of international shocks to CIS economies: A Global VAR approach (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecosys:v:45:y:2021:i:2:s0939362520300765

DOI: 10.1016/j.ecosys.2020.100769

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