A re-estimation of the impact of the subprime crisis on the economic growth of some emerging countries: Vector-Error correction model

Helali Kamel and Mouna Rekik
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Mouna Rekik: Department of Applied Quantitative Methods, Faculty of Economics and Management of Sfax, University of Sfax. Tunisia

E3 Journal of Business Management and Economics., 2014, vol. 5, issue 3, 063-070

Abstract: This paper deals with the analysis of a group of emerging countries so as to identify the scale of the subprime crisis on their economic growth. In this context, we will discuss a panel data analysis. We will try to econometrically examine the real impact of the crisis on the economic growth in six emerging countries through five channels: the interest rate channel, the wealth impact channel, the bank lending channel, the shock and uncertainty channel and the trade channel, over the period 2002-2011. According to the estimates of the VECM model, there is a long-run relationship between the consumer price index, the exports and the interbank spread on economic growth. However, the long-run estimate indicates no relationship between economic growth and volatility and the stock price performance.

Keywords: Sub-prime crisis; emerging countries; VECM; transmission channels. (search for similar items in EconPapers)
Date: 2014-03
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