Determinants of Time-Varying Sensitivity of MENA Countries to Global Shocks: A State Space Approach - Economic Research Forum (ERF)

Determinants of Time-Varying Sensitivity of MENA Countries to Global Shocks: A State Space Approach

Bedri Kamil Onur Tas


Date:
June, 2010

NO.
530

Length:
25 pages

Publisher:
Economic Research Forum (ERF)

Topic:
E. Macroeconomics and Monetary Economics

Abstract
This paper examines whether the mechanism by which global shocks are transmitted into MENA countries changes over time. Three main questions are investigated by implementing TVC-VAR methodology. 1) Do MENA countries respond differently to global economic shocks? 2) Do the reactions of countries to global economic shocks vary over time? 3) What are the structural factors that determine the sensitivity of a country to global shocks? The responses of countries to shocks, to global GDP and oil price are investigated. The empirical results indicate that the reaction of countries to global shocks differs significantly among MENA countries. Also, the response of an individual country varies over time. Finally, economic factors like the exchange rate regime, monetary policy, transparency of the central bank and institutional quality play significant roles in the reaction of domestic GDP to shocks, to global GDP and oil price. The results of this paper have significant policy implications especially for AGCC countries.

Arabic Abstract:

يدرس هذا البحث الآلية التي تنتقل عن طريقها تغيير الصدمات العالمية إلي دول منطقة الشرق الأوسط وشمال أفريقيا بمضي الوقت. وهناك سؤالان رئيسان يتم بحثهما من خلال تنفيذ معاملات الارتباط لبارسون و TVC-VAR :1) هل تستجيب دول منطقة الشرق الأوسط وشمال أفريقيا علي نحو مختلف للصدمات الاقتصادية العالمية؟ 2) هل تتفاوت ردود فعل هذه الدول بشأن هذه التغيرات علي مدار الوقت؟ وتشير النتائج التجريبية إلي أن مدي استجابة دول منطقة الشرق الأوسط وشمال أفريقيا لهذه التغيرات الاقتصادية العالمية تتفاوت بصورة ذي بال بين دول منطقة الشرق الأوسط وشمال أفريقيا. كما تتفاوت أيضا استجابة الدولة الواحدة لهذه التغيرات علي مدار الوقت. ولنتائج هذا البحث تضمينات ذات بال لاسيما بالنسبة للدول العربية الأعضاء بمجلس التعاون الخليجي.
Research Fellows

Bedri Kamil Onur Tas

Associate Professor, TOBB University of Economics and Technology


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