Cross-Country Spillovers in East Africa: A Global Vector Autoregressive Analysis

Citation:
Njoora D, Olubusoye OE. "Cross-Country Spillovers in East Africa: A Global Vector Autoregressive Analysis." American Journal of Theoretical and Applied Statistics. 2015;4(3):125-137.

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.

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