Cross-Country Spillovers in East Africa: A Global Vector Autoregressive Analysis
American Journal of Theoretical and Applied Statistics
Volume 4, Issue 3, May 2015, Pages: 125-137
Received: Mar. 20, 2015; Accepted: Apr. 11, 2015; Published: Apr. 21, 2015
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Authors
Daniel Njoora, Pan African University, Institute of basic Sciences, Technology and Innovation, Department of Mathematics, Nairobi, Kenya
Olusanya E. Olubusoye, University of Ibadan, Department of statistics, Ibadan, Nigeria
Patrick Weke, University of Nairobi, School of Mathematics, Nairobi, Kenya
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Abstract
The recent financial crisis raises important issues about transmission of financial shocks across borders. This paper uses the global vector autoregressive model as developed in Dees, di Mauro, Pesaran and Smith (2007) to study cross-country interlinkages among East African countries. The paper uses trade weights to capture the importance of the foreign variables. Results reveal that there is no evidence of strong international linkages across countries in East Africa. Results also reveal that the variable in which a shock is simulated is the main channel through which-in the shortrun-shocks are transmitted, while the contribution of other variables becomes more important over longer horizons.
Keywords
Global VAR, Linkages, VARY*, Spillovers, Linkages
To cite this article
Daniel Njoora, Olusanya E. Olubusoye, Patrick Weke, Cross-Country Spillovers in East Africa: A Global Vector Autoregressive Analysis, American Journal of Theoretical and Applied Statistics. Vol. 4, No. 3, 2015, pp. 125-137. doi: 10.11648/j.ajtas.20150403.18
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