Global Financial Transmission into Sub-Saharan Africa – A Global Vector Autoregression Analysis

By Jorge I Canales Kriljenko, Mehdi Hosseinkouchack, Alexis Meyer-Cirkel

December 29, 2014

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Jorge I Canales Kriljenko, Mehdi Hosseinkouchack, and Alexis Meyer-Cirkel. Global Financial Transmission into Sub-Saharan Africa – A Global Vector Autoregression Analysis, (USA: International Monetary Fund, 2014) accessed December 21, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

Sub-Saharan African countries are exposed to spillovers from global financial variables, but the impact on economic activity is more significant in more financially developed economies. Generalized impulse responses from a GVAR exercise demonstrate how the CBOE volatility index (VIX) and credit conditions around the globe impact a subset of sub-Saharan African economies and regions. The estimated relationships suggest that the effect of global uncertainty is more pervasive in exports, with the impact on economic and lending activities being mixed. The channels of transmission include the effects of global financial variables on commodity prices and on trading-partner’s macroeconomic and financial variables. The analysis suggests that shocks to credit conditions in the euro area and the U.S. have not significantly affected local lending conditions or economic activity in sub-Saharan Africa during 1991-2011, except perhaps in South Africa.

Subject: Commodity prices, Econometric analysis, Exports, Financial crises, Financial sector policy and analysis, Global financial crisis of 2008-2009, International trade, Prices, Spillovers, Vector autoregression

Keywords: Africa, CBOE Volatility Index, Commodity exporter, Commodity prices, East Africa, Economic system, Europe, Exports, Financial Transmission, Global, Global financial crisis of 2008-2009, GVAR, Market destination, Output development, Real GDP, Spillovers, Sub-Saharan Africa, Sub-Saharan Africa country group, Trading partner, Vector autoregression, WP

Publication Details

Pages:

29
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2014/241
Stock No:

WPIEA2014241
ISBN:

9781498305051
ISSN:

1018-5941

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