IDEAS home Printed from https://ideas.repec.org/a/ebl/ecbull/eb-12-00793.html
   My bibliography  Save this article

Shocks Transmission in the Mediterranean Zone

Author

Listed:
  • Siliti jr Hammadi

    (Faculty of economic sciences and management of Tunisia, university of El Manar)

  • Ben mbarek jr Hassene

    (ESSEC business school, university of Tunis)

Abstract

This paper examines macroeconomic interdependency of the Mediterranean countries and the transmission of shocks. Using a non standard VAR model, we were able to jointly model the direct and indirect transmission mechanisms of economic fragilities and to evaluate contagion effects of shocks by computing functions of instantaneous and cumulative responses, analysing Granger-like causality links, instantaneous causality and indices of shocks transmission for each country. The results indicate that business exchanges play a determining role in transmitting economic turmoil in the short and in the long-run. Shocks transmission effects take between 12 to 34 months depending on the countries, to reach a definite end. European Mediterranean countries show signs of higher effects. Transmission indices are important for big countries reflecting a higher contagion power at play. Nevertheless, shocks transmission remains highly correlated to the trade influence of the country, rather than to its size. A high degree of synchronisation of economic activities is observed for the European Mediterranean countries which are revealed to be producers of economic fluctuations in the zone. The minimal transmission thresholds are observed for the African Mediterranean countries which are revealed to be receptors of shocks.

Suggested Citation

  • Siliti jr Hammadi & Ben mbarek jr Hassene, 2013. "Shocks Transmission in the Mediterranean Zone," Economics Bulletin, AccessEcon, vol. 33(2), pages 1010-1028.
    • Handle: RePEc:ebl:ecbull:eb-12-00793
    as

    Download full text from publisher

    File URL: http://www.accessecon.com/Pubs/EB/2013/Volume33/EB-13-V33-I2-P97.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Ralf Brüggemann & Helmut Lütkepohl, 2005. "Practical Problems with Reduced‐rank ML Estimators for Cointegration Parameters and a Simple Alternative," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(5), pages 673-690, October.
    2. Marta Gómez-Puig & Simón Sosvilla-Rivero, 2011. "Causality and contagion in peripheral EMU public debt markets: A dynamic approach," Working Papers 11-06, Asociación Española de Economía y Finanzas Internacionales.
    3. Lütkepohl, Helmut & POSKITT, D.S., 1996. "Testing for Causation Using Infinite Order Vector Autoregressive Processes," Econometric Theory, Cambridge University Press, vol. 12(1), pages 61-87, March.
    4. Helmut Lütkepohl, 2005. "Vector Error Correction Models," Springer Books, in: New Introduction to Multiple Time Series Analysis, chapter 6, pages 237-267, Springer.
    5. Lutkepohl, Helmut & Reimers, Hans-Eggert, 1992. "Granger-causality in cointegrated VAR processes The case of the term structure," Economics Letters, Elsevier, vol. 40(3), pages 263-268, November.
    6. Lütkepohl, Helmut, 2008. "Problems related to over-identifying restrictions for structural vector error correction models," Economics Letters, Elsevier, vol. 99(3), pages 512-515, June.
    7. Bruggemann, Ralf & Lutkepohl, Helmut & Saikkonen, Pentti, 2006. "Residual autocorrelation testing for vector error correction models," Journal of Econometrics, Elsevier, vol. 134(2), pages 579-604, October.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Helmut Luetkepohl, 2007. "Econometric Analysis with Vector Autoregressive Models," Economics Working Papers ECO2007/11, European University Institute.
    2. Helmut Lütkepohl, 2013. "Vector autoregressive models," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 6, pages 139-164, Edward Elgar Publishing.
    3. Javier Garcia Cicco & Patricio Goldstein & Federico Sturzenegger, 2023. "Permanent and Transitory Monetary Shocks around the World," Working Papers 275, Red Nacional de Investigadores en Economía (RedNIE).
    4. Ralf Brüggemann & Helmut Lütkepohl, 2006. "A small monetary system for the euro area based on German data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(6), pages 683-702, September.
    5. Raja Ben Hajria & Salah Khardani & Hamdi Raïssi, 2017. "Testing the lag length of vector autoregressive models: A power comparison between portmanteau and Lagrange multiplier tests," Working Papers 2017-03, Escuela de Negocios y Economía, Pontificia Universidad Católica de Valparaíso.
    6. Arbus, Ignacio, 2009. "Departure from normality of increasing-dimension martingales," Journal of Multivariate Analysis, Elsevier, vol. 100(6), pages 1304-1315, July.
    7. Poulin, Jennifer & Duchesne, Pierre, 2008. "On the power transformation of kernel-based tests for serial correlation in vector time series: Some finite sample results and a comparison with the bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 52(9), pages 4432-4457, May.
    8. Ida Wolden Bache, 2008. "Assessing estimates of the exchange rate pass-through," Working Paper 2007/12, Norges Bank.
    9. Park, Byeong U. & Mammen, Enno & Härdle, Wolfgang & Borak, Szymon, 2009. "Time Series Modelling With Semiparametric Factor Dynamics," Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 284-298.
    10. Carsten Trenkler & Enzo Weber, 2013. "Testing for codependence of cointegrated variables," Applied Economics, Taylor & Francis Journals, vol. 45(15), pages 1953-1964, May.
    11. Mezgebo, Taddese, 2009. "A multivariate approach for identification of optimal locations with in Ethiopia’s wheat market to tackle soaring inflation on food price," MPRA Paper 18663, University Library of Munich, Germany.
    12. Catani, P.S. & Ahlgren, N.J.C., 2017. "Combined Lagrange multiplier test for ARCH in vector autoregressive models," Econometrics and Statistics, Elsevier, vol. 1(C), pages 62-84.
    13. Bahal, Girish & Raissi, Mehdi & Tulin, Volodymyr, 2018. "Crowding-out or crowding-in? Public and private investment in India," World Development, Elsevier, vol. 109(C), pages 323-333.
    14. Niklas Ahlgren & Paul Catani, 2017. "Wild bootstrap tests for autocorrelation in vector autoregressive models," Statistical Papers, Springer, vol. 58(4), pages 1189-1216, December.
    15. Andre Varella Mollick, 2008. "The Rise of the Skill Premium in Mexican Maquiladoras," Journal of Development Studies, Taylor & Francis Journals, vol. 44(9), pages 1382-1404.
    16. Andreas Röthig, 2011. "On speculators and hedgers in currency futures markets: who leads whom?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 16(1), pages 63-69, January.
    17. Ida Wolden Bache, 2006. "Assessing the structural VAR approach to exchange rate pass-through," Computing in Economics and Finance 2006 309, Society for Computational Economics.
    18. Xibing Li & Jiao Liu & Jian Zhou & Xiling Liu & Lei Zhou & Wei Wei, 2020. "The Effects of Macroeconomic Factors on Road Traffic Safety: A Study Based on the ARDL-ECM Model," Sustainability, MDPI, vol. 12(24), pages 1-16, December.
    19. Andreas Röthig, 2009. "Microeconomic Risk Management and Macroeconomic Stability," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-642-01565-6, December.
    20. Angelos Liapis & Stylianos Artsidakis & Christos Galanos, 2023. "Forecasting Methods of Key Ratios and Their Impact in Company’s Value," JRFM, MDPI, vol. 16(3), pages 1-17, February.

    More about this item

    Keywords

    macroeconomic interdependency; shock transmission; contagion; non standard VAR model;
    All these keywords.

    JEL classification:

    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • P0 - Political Economy and Comparative Economic Systems - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ebl:ecbull:eb-12-00793. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: John P. Conley (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.