The ever-evolving trade pattern: a global VAR approach

Razieh Zahedi, Asghar Shahmoradi () and Ali Taiebnia
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Ali Taiebnia: University of Tehran

Empirical Economics, 2022, vol. 63, issue 3, No 3, 1193-1218

Abstract: Abstract This paper focuses on the spillover dynamics of shocks originating in China during the last two decades. More specifically, the paper compares the effects of a shock to China’s GDP and exchange rate using early 2000s trade patterns with those of two decades later. We use a global vector autoregressive (GVAR) model as it allows to consider trade interactions as well as financial linkages through interest rates, stock prices, and exchange rates. Our results indicate that the shock spillovers from China have become more pronounced over the past two decades. While the world has become more exposed to China’s economy, it has become more susceptible to Chinese economic shocks. This paper contributes to the literature by evaluating the dynamics of China’s spillover effects and highlights the structural changes in trade between major global trade players.

Keywords: GVAR; Trade linkage; International business cycles; Cointegration; Error correction; China (search for similar items in EconPapers)
JEL-codes: C33 F11 F44 F47 O50 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s00181-021-02182-5

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