The ever-evolving trade pattern: a global VAR approach

Zahedi, Razieh; Shahmoradi, Asghar; Taiebnia, Ali

doi:10.1007/s00181-021-02182-5

Cited by 6 publications

(2 citation statements)

References 58 publications

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“…Output (real) shocks transmitted through the trade channel can impact the macroeconomic stability of the receiving country. If a country's trading partner experiences an economic downturn (or declines in consumption or investment), their demand for imports may decrease, leading to a decline in exports from the affected country (demand side; Alam et al., 2023; Feldkircher & Huber, 2016; Inoue et al., 2015; Sznajderska, 2019; Zahedi et al., 2022). This reduction in trade flows can directly reduce growth of the domestic economy, affecting industries, employment, and income.…”

Section: The Agri‐food Trade Transmission Channel and Spillover Effectsmentioning

confidence: 99%

“…For example, several studies find a moderate or weak role for trade interdependence in propagating external shocks (Baig & Goldfajn, 1999; Berkmen et al., 2012; Blanchard et al., 2010; Canova, 1991; Canova & Dellas, 1993; Harrigan, 2000; Masson, 1998). Alternatively, other studies (Alam et al., 2023; Dreger & Zhang, 2014; Dungey & Martin, 1998; Feldkircher & Huber, 2016; Gauvin & Rebillard, 2018; Haidar, 2012; Hájek & Horváth, 2016; Inoue et al., 2015; Ito & Hashimoto, 2005; Raghavan & Devadason, 2020; Raghavan et al., 2021; Zahedi et al., 2022) identify the influential role of trade (both bilateral and competition via a third market) in explaining the propagation of macroeconomic instabilities in the international markets.…”

Section: The Agri‐food Trade Transmission Channel and Spillover Effectsmentioning

confidence: 99%

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Agri‐food trade channel and the ASEAN macroeconomic impacts from output and price shocks

Raghavan,

Khan,

Devadason

2023

Agricultural Economics

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This paper examines the diffusion of external (output and price) shocks to the Association of Southeast Asian Nations (ASEAN) through the agri‐food trade channel for the 1990Q1 to 2020Q4 period. For that purpose, the study develops a Global Vector Autoregressive (GVAR) model to simulate the region's economic resilience (output, inflation, interest rate and exchange rate) from various external shocks. We find that the agri‐food channel is relevant in the shock propagation to ASEAN. There are more pronounced output effects on ASEAN from global output shocks relative to regional output shocks channeled through agri‐food trade. However, the macroeconomic responses of ASEAN to global price shocks are not uniform due to the different consumption intensities of oil and raw materials, with negative and positive output effects from oil price shocks and raw material price shocks, respectively. Overall, ASEAN is more vulnerable to oil price shocks than to raw material price shocks. Our results emphasize that the distributional impacts of the agri‐food trade channel and the ASEAN region's ability to mitigate the effects of global shocks depend on the degree of trade linkages and the region's capacity to counter the demand contractions and supply disruptions. The findings suggest that ASEAN should be cautious about the global shocks penetrating through the agri‐food channel to address its macroeconomic vulnerabilities and better manage its economic resiliency.

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Section: The Agri‐food Trade Transmission Channel and Spillover Effectsmentioning

confidence: 99%

Section: The Agri‐food Trade Transmission Channel and Spillover Effectsmentioning

confidence: 99%

Agri‐food trade channel and the ASEAN macroeconomic impacts from output and price shocks

Raghavan,

Khan,

Devadason

2023

Agricultural Economics

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A New Look at Cross-Country Aggregation in the Global VAR Approach: Theory and Monte Carlo Simulation

Gunduz,

Emirmahmutoglu,

Yucel

2024

Comput Econ

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Requirements to understand and forecast the behavior of complex macroeconomic interactions mandate the use of high-dimensional macroeconometric models. The Global Vector Autoregressive (GVAR) modeling technique is very popular among them and it allows researchers and policymakers to take into account both the complex interdependencies that exist between various economic entities and the global economy through the world’s trade and financial channels. However, determining the cross-section unit size while using this approach is not a trivial task. In order to address this issue, we suggest an objective procedure for the detection of the size of the cross-country aggregation in GVAR models. While doing so, we depart from the Akaike Information Criterion (AIC) and propose an analytical modification to it, mainly employing an ad hoc approach without violating Akaike’s main principles. To supplement the theoretical results, small sample performances of those procedures are studied in Monte Carlo experiments as well as implementing our approach on real data. The numerical results suggest that our ad hoc modification of AIC can be used to determine the structure of the cross-section unit dimension in GVAR models, allowing the researchers and policymakers to build parsimonious models.

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The effects of a shock to critical minerals prices on the world oil price and inflation

et al. 2023

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The ever-evolving trade pattern: a global VAR approach

Cited by 6 publications

References 58 publications

Agri‐food trade channel and the ASEAN macroeconomic impacts from output and price shocks

Agri‐food trade channel and the ASEAN macroeconomic impacts from output and price shocks

A New Look at Cross-Country Aggregation in the Global VAR Approach: Theory and Monte Carlo Simulation

The effects of a shock to critical minerals prices on the world oil price and inflation

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