Shocks Transmission in the Mediterranean Zone

Siliti Hammadi () and Ben mbarek Hassene ()
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Siliti Hammadi: Faculty of economic sciences and management of Tunisia, university of El Manar
Ben mbarek Hassene: ESSEC business school, university of Tunis
Authors registered in the RePEc Author Service: Hammadi Sliti

Economics Bulletin, 2013, vol. 33, issue 2, 1010-1028

Abstract: This paper examines macroeconomic interdependency of the Mediterranean countries and the transmission of shocks. Using a non standard VAR model, we were able to jointly model the direct and indirect transmission mechanisms of economic fragilities and to evaluate contagion effects of shocks by computing functions of instantaneous and cumulative responses, analysing Granger-like causality links, instantaneous causality and indices of shocks transmission for each country. The results indicate that business exchanges play a determining role in transmitting economic turmoil in the short and in the long-run. Shocks transmission effects take between 12 to 34 months depending on the countries, to reach a definite end. European Mediterranean countries show signs of higher effects. Transmission indices are important for big countries reflecting a higher contagion power at play. Nevertheless, shocks transmission remains highly correlated to the trade influence of the country, rather than to its size. A high degree of synchronisation of economic activities is observed for the European Mediterranean countries which are revealed to be producers of economic fluctuations in the zone. The minimal transmission thresholds are observed for the African Mediterranean countries which are revealed to be receptors of shocks.

Keywords: macroeconomic interdependency; shock transmission; contagion; non standard VAR model (search for similar items in EconPapers)
JEL-codes: E3 P0 (search for similar items in EconPapers)
Date: 2013-04-16
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