The transmission of international shocks to CIS economies: A Global VAR approach

Oleksandr Faryna and Heli Simola

No 17/2018, BOFIT Discussion Papers from Bank of Finland Institute for Emerging Economies (BOFIT)

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 no-table 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.

JEL-codes: C32 E32 F42 F43 (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:bofitp:bdp2018_017

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