On the Source of Macroeconomic Fluctuations in the Middle Eastern and North African Countries: A Structural Vector Autoregression Analysis

Evrim Tören
2013 International Conference on Eurasian Economies 2013   unpublished
This study investigates the relative importance of various shocks in accounting for output fluctuations in the Middle East and North Africa (MENA) countries. The macroeconomic shocks are decomposed into country-specific, regional, and global sources by using a small open economy structural vector autoregression (SVAR) model. In order to explain output volatility in Middle East and North Africa, the relative importance of each shock in 15 MENA countries is identified in this study. The results
more » ... tudy. The results show that country-specific factors account for most of the output volatility in the region. For less than half of the countries in the region, global shocks play a significant role in explaining output volatility. Contrary to some findings in the empirical literature, especially on Sub-Saharan Africa, the regional factor does not seem to have a statistically significant impact in any of the countries under consideration. The results are uniform and no statistically significant difference is observed for the countries in the MENA region. Furthermore, oil-exporting and oil-poor countries in the sample do not show any noticeable difference.
doi:10.36880/c04.00684 fatcat:pnt2bnoiabhdnbti4qmgbzi5o4