DYNAMIC IMPACT OF EXTERNAL SHOCKS ON MACROECONOMIC FUNDAMENTALS OF SELECTED SOUTH ASIAN COUNTRIES

Authors

  • JAMSHAID UR REHMAN Assistant Professor, Department of Economics, GC University Lahore, Pakistan Author
  • SEHRISH FAREEN Research Scholar, Department of Economics, GC University Lahore Author
  • SHABBIR AHMAD Assistant Professor, Department of Economics, Division of Management & Administrative Science, University of Education Lahore Author
  • AFTAB ANWAR Assistant Professor, Department of Economics, Division of Management & Administrative Science, University of Education Lahore, Pakistan Author

Keywords:

External shock, real output, prices, interest rates, exchange rates, , PSVAR model

Abstract

This research investigates the relative importance of a set of exogenous shocks in deriving the fluctuations in macroeconomic fundamentals of selected South Asian countries. We have employed the panel structural VAR model to cater to the idiosyncratic and contagion impact of shocks, for 1999Q1-2018Q2, relying on a set of exogenous shocks (Oil Price shock, Trade shock, MSCI world shock, and structural shock (GFC). The variance decomposition forecasting error and impulse response function confirm pronounce impact of external shocks on macroeconomic fundamentals, particularly in the pre-global financial crises GFC period. Moreover, the oil price shock and trade shock have a significant effect on macroeconomic fundamentals for South Asian countries with more asymmetric response vis-à-vis to financial shocks. Variance decompositions and impulse-response functions display that South Asian countries appear more sensitive to the trade channel rather than to the financial channel.

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Published

2022-03-30

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Section

Articles

How to Cite

JAMSHAID UR REHMAN, FAREEN, S. ., AHMAD, S. ., & ANWAR, A. . (2022). DYNAMIC IMPACT OF EXTERNAL SHOCKS ON MACROECONOMIC FUNDAMENTALS OF SELECTED SOUTH ASIAN COUNTRIES. Bulletin of Business and Economics (BBE), 11(1), 197-207. https://bbejournal.com/index.php/BBE/article/view/411

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