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MENA aggregate cycle and world conjuncture: Episodes of volatility and symmetry, and an ADL cointegration test

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  • Garfa, Kamel

Abstract

This paper studies the cyclical fluctuations of the Middle East and North Africa countries in interaction with world conjuncture. The purpose is to evaluate in which measure the volatility and the symmetry of these countries had been modified quite particularly after their external integration. We adopt what we qualify as the aggregate cycle of MENA countries in orders to exanimate his evolution towards the G7, the European and the Anglo-Saxon business cycles over 1970-2010 periods. The filter of Hodrick-Prescott is applied in order to decompose the real GDP of the MENA and the most industrialized countries into trend and cyclical components. These last ones will be used to answer the composed questions on various temporal horizons, contemporary, the short term, and the long term. Two approaches will be used: A static one, based on properties of variability, co-variation and correlation, and a dynamic one, based on the study of the long term relations through an Autoregressive Distributed Model and the study of short term dynamics through an Error Correction Model.

Suggested Citation

  • Garfa, Kamel, 2011. "MENA aggregate cycle and world conjuncture: Episodes of volatility and symmetry, and an ADL cointegration test," MPRA Paper 32247, University Library of Munich, Germany, revised Mar 2011.
    • Handle: RePEc:pra:mprapa:32247
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    References listed on IDEAS

    as
    1. Pesaran, M. H. & Shin, Y. & Smith, R. J., 1996. "Testing for the 'Existence of a Long-run Relationship'," Cambridge Working Papers in Economics 9622, Faculty of Economics, University of Cambridge.
    2. Duarte, Agustin & Holden, Ken, 2003. "The business cycle in the G-7 economies," International Journal of Forecasting, Elsevier, vol. 19(4), pages 685-700.
    3. James H. Stock & Mark W. Watson, 2003. "Has the Business Cycle Changed and Why?," NBER Chapters, in: NBER Macroeconomics Annual 2002, Volume 17, pages 159-230, National Bureau of Economic Research, Inc.
    4. James H. Stock & Mark W. Watson, 2003. "Has the business cycle changed?," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 9-56.
    5. Uwe Hassler & Jürgen Wolters, 2006. "Autoregressive Distributed Lag Models and Cointegration," Springer Books, in: Olaf Hübler & Jachim Frohn (ed.), Modern Econometric Analysis, chapter 5, pages 57-72, Springer.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Aggregate cycles; Synchronization; Fluctuations; Economic conjuncture; Co-integration; Autoregressive Distributed Model; Vectors Errors Correction Model.;
    All these keywords.

    JEL classification:

    • F15 - International Economics - - Trade - - - Economic Integration
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission

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