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Linkages between the euro zone and the south-eastern European countries: a global VAR analysis

Minoas Koukouritakis (), Athanasios Papadopoulos () and Andreas Yannopoulos
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Andreas Yannopoulos: University of Crete

No 163, Working Papers from Bank of Greece

Abstract: In the present paper we assess the impact of the Eurozone’s economic policies on specific South-Eastern European countries, namely Bulgaria, Croatia, Cyprus, Greece, Romania, Slovenia and Turkey. Since these countries are connected to the EU or the Eurozone and economic interdependence among them is continuously evolving, we implemented a Global VAR model. Our results indicate that all sample countries, except Turkey, react in a similar manner to changes (a) in the macroeconomic policies of the Eurozone, and (b) in the nominal exchange rate of the euro against the US dollar. There is evidence of linkages among the EU or Eurozone members of the region, and between each of them and the Eurozone.

Keywords: Monetary Transmission; Global VAR Model; Weak Exogeneity; Impact Elasticities; Generalised Impulse Responses. (search for similar items in EconPapers)
JEL-codes: E43 F15 F42 (search for similar items in EconPapers)
Pages: 42
Date: 2013-10
New Economics Papers: this item is included in nep-eec, nep-opm and nep-tra
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Related works:
Journal Article: Linkages between the Eurozone and the South-Eastern European countries: A global VAR analysis (2015) Downloads
Working Paper: Linkages between the Eurozone and the South-Eastern European Countries: A Global VAR Analysis (2013) Downloads
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