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Testing shock transmission channels to low-income developing countries

Author: Nina Biljanovska; Alexis Meyer Cirkel; International Monetary Fund. Strategy, Policy, and Review Department,
Publisher: [Washington, D.C.] : International Monetary Fund, [2016] ©2016
Series: IMF working paper, WP/16/102.
Edition/Format:   eBook : Document : International government publication : EnglishView all editions and formats
Database:WorldCat
Summary:
The paper examines the transmission of business cycle fluctuations and credit conditions from advanced and emerging market economies to Low-Income Developing Countries (LIDCs), using a global vector autoregressive (GVAR) framework and related country-specific error correction models. We compile a dataset on bank credit, exports, output, and real effective exchange rate for 24 LIDCs and 16 Advanced and Emerging  Read more...
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Material Type: Document, Government publication, International government publication, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Nina Biljanovska; Alexis Meyer Cirkel; International Monetary Fund. Strategy, Policy, and Review Department,
ISBN: 9781484364345 1484364341
OCLC Number: 953524464
Notes: "May 2016."
"Strategy, Policy, and Review Department."
Description: 1 online resource (27 pages) : color illustrations.
Contents: Cover; Contents; Acronyms and Abbreviations; I. Introduction; II. Where Do We Complement the Literature; III. Dataset; A. Overcoming Challenges with Data Availability; IV. Methodology; A. Model Specification; V. Results; VI. Conclusion; Figures; 1. Response of GDP to Negative Shock to EM's Output; 2. Response of GDP to Negative Shock to AE's Output; 3. Response of Exports to Negative Shock to US Output; 4. Response of GDP to Negative Shock to US's Credit; 5. Response of Exports to Negative Shock to US's Credit; 6. IRFs to Negative Shock to US Private Credit in Different Regions; Tables 1. Countries and Regions2. Correlations of GDP and GDP Interpolated Series; 3. Model Specification; 4. Weak Exogeneity Test; 5. LIDCs' Country Groupings; Appendix; A. Data; B. Estimation Results; References
Series Title: IMF working paper, WP/16/102.
Responsibility: prepared by Nina Biljanovska and Alexis Meyer-Cirkel.

Abstract:

The paper examines the transmission of business cycle fluctuations and credit conditions from advanced and emerging market economies to Low-Income Developing Countries (LIDCs), using a global vector autoregressive (GVAR) framework and related country-specific error correction models. We compile a dataset on bank credit, exports, output, and real effective exchange rate for 24 LIDCs and 16 Advanced and Emerging Markets, accounting for 74 percent of World GDP, from 1990Q1 to 2013Q4. Impulse response analyses show that business cycles in oil- and commodity-exporting, as well as frontier LIDCs are more synchronized with those in emerging market economies. Furthermore, credit conditions in the US seem to have a significant impact on exports and real economic activity in LIDCs, while these variables are basically unresponsive to credit availability in emerging markets or economies in other parts of the world.

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