Business Cycle Synchronization between United States and African Region: Some Empirical Evidence
Journal of World Economic Research
Volume 3, Issue 6-1, December 2014, Pages: 39-47
Received: Dec. 14, 2014; Accepted: Dec. 16, 2014; Published: Feb. 11, 2015
Views 2725      Downloads 119
Olfa Manai Daboussi, MASE- ESSAI and MACMA- TUNIS, Higher Institute of Management of Tunis, University of Tunis, Tunisia
Amira Majoul, Applied Quantitative Analysis Unit (UAQUAP) -Tunisia ISG and GATE (UMR 5824 CNRS), Higher Institute of Management of Tunis, University of Tunis, Tunisia
Article Tools
Follow on us
This article analyzes the transmission cycle of the United States to emerging markets of the Middle East and North Africa. The related empirical literature dedicated to the transmissions of financial and real shocks on business cycles in emerging African countries does not lead to firm conclusion. We propose a different empirical approach allowing unlike previous studies to analyze how the real and financial shocks are transmitted from the United States to the region of Africa. Based on a new econometric approach in terms of Global VAR model this paper attempts to study the effect of shocks from the United States on the Middle East and North Africa countries, considering the crucial role of trade integration in the integration process in the region of Africa. The model has the advantage of conducting empirical investigations of a large number of countries. The GVAR is estimated for 32 countries over the period 1980-2013. From the functions of impulsive responses generated by this model, our results show the presence of a significant transfer of real and financial shocks of the United States to emerging countries of Africa. This result confirms the idea that a recession affecting the United States tends to affect emerging economies of Africa and even up to cause a recession in the latter.
Business Cycle Synchronization, International Mechanism of Transmission, Subprime Crisis, GVAR
To cite this article
Olfa Manai Daboussi, Amira Majoul, Business Cycle Synchronization between United States and African Region: Some Empirical Evidence, Journal of World Economic Research. Special Issue: Issues and Challenges of the Financial and Economic Crisis Throughout the World. Vol. 3, No. 6-1, 2014, pp. 39-47. doi: 10.11648/j.jwer.s.2014030601.16
Akin, C and M.A Kose (2008) “Changing Nature of North-South Linkages: Stylized Facts and Explanations” Journal of Asian Economics, Vol. 19, pp. 1–28.
Altug, S. and M. Bildirici (2010) “Business Cycles Around the Globe: A Regime-Switching Approach” TÜSİAD-KOÇ University Economic Research Forum, Working Paper 100. Baxter, M. and M. Kouparitsas (2004) “Determinants of Business Cycle Comovement: A Robust Analysis” NBER Working Paper number 10725.
Binder, M and M Gross (2013) “Regime-Switching Global Vector Autoregressive Models” European Central Bank Working Paper Series S, No 1569.
Calderón, C., Chong, A. and E. Stein ( 2002) “ Trade Intensity and Business Cycle Synchronization: Are Developing Countries any Different?” Central Bank of Chile Working Paper, No.195.
Canova, F. (2003) “The transmission of US shocks to Latin America” Economics Working Papers 925, Department of Economics and Business, Universitat Pompeu Fabra.
Chudik, A. and M. Fratzscher (2011) “Identifying the Global Transmission of the 2007-2009 Fnancial Crisis in a GVAR Model” European Economic Review, 55, pp 325–339.
Clark, T.E. and E.V. Wincoop (2001) “Borders and Business Cycles” Journal of International Economics, 55, pp 59-85.
Crucini, M. J., Kose, M. A. and C. Otrok (2008) “What are the Driving Forces of International Business Cycles?” NBER Working Papers number 14380.
Dees, S., Di Mauro, F., Pesaran, M., and L. Smith (2007) “Exploring the International Linkages of the Euro Area: A global VAR analysis.” Journal of Applied Econometrics 22 (1), pp 1–38.
Frankel, J. A and A. K. Rose (1998) “The Endogenity of the Optimum Currency Area Criteria” Economic Journal, July, pp 1009-1025.
Heathcote, J. and F. Perri, (2004) “Financial Globalization and Real Regionalization” Journal of Economic Theory, Elsevier, vol. 1191, pp 207-243.
Helbling, T. and T. Bayoumi (2003) “Are They All in the Same Boat? The 2000-2001 Growth Slowdown and the G-7 Business Cycle Linkages” IMF Working Paper 03/46.
Galesi, A., and S. Sgherri (2009) “Regional Financial Spillovers Across Europe” IMF Working Paper No. 09/23 (2009).
Gross, M., and C. Kok (2013) “A Mixed-Cross-Section GVAR for Countries and Banks. ECB Working Paper No. 1570.
Kose A., Otrok, C. and E. Prasad (2010) “Global Business Cycles: Convergence or De-coupling?” forthcoming International Economic Review.
Kose, M. A., Otrok, C. and E. Prasad (2008) “Global Business Cycles: Convergence or Decoupling?”IMF Working Papers 08/143.
Kose, A., Prasad, E. and M. Terrones (2003) “How does Globalization Affect the Synchronization of Business Cycles?” American Economic Review 93, pp 57-62.
International Monetary Fund (2007) “Spillovers and Cycles in the Global Economy” World Economic Outlook
Otto, G., Voss, G. and L. Willard (2001) “Understanding OECD Output Correlations” Reserve Bank of Australia Research Discussion Paper, No. 2001-5.
Pesaran, M.H., Schuermann, T. and S.C. Weiner (2004) “Modeling Regional Interdependencies Using a Global Error Correcting Macroeconomic Model” Journal of Business and Economic Statistics, 22, pp 129-162.
Stock, J.H. and M.W. Watson (2005) “Understanding Changes in International Biseness Cycles Dynamics” Journal of Europeen EconomicAssociation Vol. 3, No. 5, pp 968-1006.
Science Publishing Group
1 Rockefeller Plaza,
10th and 11th Floors,
New York, NY 10020
Tel: (001)347-983-5186