EconPapers    
Economics at your fingertips  
 

The Transmission of International Shocks to CIS Economies: A Global VAR Approach

Oleksandr Faryna and Heli Simola
Additional contact information
Heli Simola: Institute for Economies in Transition BOFIT, Bank of Finland

No 04/2018, Working Papers from National Bank of Ukraine

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 a two-decade observation period, cross-country trade and financial linkages experience notable changes. We find CIS countries highly sensitive to global and regional shocks, with that sensitivity increasing after the global financial crisis. CIS countries show 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 F42 F43 E32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cis, nep-mac and nep-tra
Date: 2018-09
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://bank.gov.ua/doccatalog/document?id=77136251 (application/pdf)

Related works:
Working Paper: The transmission of international shocks to CIS economies: A Global VAR approach (2018) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ukb:wpaper:04/2018

Access Statistics for this paper

More papers in Working Papers from National Bank of Ukraine Contact information at EDIRC.
Bibliographic data for series maintained by Research Unit ().

 
Page updated 2019-09-06
Handle: RePEc:ukb:wpaper:04/2018