Output sustainability to exogenous and endogenous shocks: evidence from emerging economies

Belitski, M. and Peliova, J. (2011) Output sustainability to exogenous and endogenous shocks: evidence from emerging economies. International Journal of Sustainable Economy, 3 (3). p. 255. ISSN 1756-5812 doi: 10.1504/IJSE.2011.041105

Abstract/Summary

This paper studies the impact of exogenous and endogenous shocks (exogenous shock is used interchangeably with external shock; endogenous shock is used interchangeably with domestic shock) on output fluctuations in post-communist countries during the 2000s. The first part presents the analytical framework and formulates a research hypothesis. The second part presents vector autoregressive estimation and analysis model proposed by Pesaran (2004) and Pesaran and Smith (2006) that relates bank real lending, the cyclical component of output and spreads and accounts for cross-sectional dependence (CD) across the countries. Impulse response functions show that exogenous positive shock lead to a drop in output sustainability for 9 over 12 Central Eastern European countries and Russia, when the endogenous shock is mild and ambiguous. Moreover, the effect of exogenous shock is more significant during the crises. Variance decompositions show that exogenous shock in the aftermath of crisis had a substantial impact on economic activity of emerging economies.

Item Type	Article
URI	https://reading-clone.eprints-hosting.org/id/eprint/43291
Item Type	Article
Refereed	Yes
Divisions	Henley Business School > Digitalisation, Marketing and Entrepreneurship
Publisher	Inderscience Publishers
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