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Evaluating the Effects of Monetary Policy Shocks on GCC Countries

Author

Listed:
  • Sayyed Mahdi Ziaei

    (Department of Business Administration, Faculty of Management, Universiti Teknologi Malayisa (UTM), Skudai, Malaysia)

Abstract

For the first time, this research assesses monetary policy shock effects on GCC members over the last 17 years using a structural vector autoregressive (SVAR) model baseline. While GCC states peg their currency to the US dollar, the contemporaneous coefficient in the structural model indicates that for GCC countries a monetary policy instrument responds positively to unexpected increases in M2, while a monetary aggregate reacts negatively to interest rate shocks. However, our findings indicate that these countries’ interest rate channel is weak. Furthermore, oil price innovation contributes to most output fluctuations in the short horizon, and M2 and Federal Fund Rates shocks are responsible for most output movements in the long horizon.

Suggested Citation

  • Sayyed Mahdi Ziaei, 2013. "Evaluating the Effects of Monetary Policy Shocks on GCC Countries," Economic Analysis and Policy, Elsevier, vol. 43(2), pages 195-215, September.
    • Handle: RePEc:eee:ecanpo:v:43:y:2013:i:2:p:195-215
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    Cited by:

    1. A D Adom, 2016. "Resilience of developing countries to shocks: Case study of WAEMU countries with SUR and VAR Approaches," Economic Issues Journal Articles, Economic Issues, vol. 21(2), pages 105-138, September.

    More about this item

    Keywords

    monetary policy shocks; GCC countries; Structural and Panel VAR; monetary union;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission
    • P24 - Political Economy and Comparative Economic Systems - - Socialist and Transition Economies - - - National Income, Product, and Expenditure; Money; Inflation

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