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The crisis in Russia and its spreadingover the CIS countries: Transmission channels
https://doi.org/10.32609/0042-8736-2016-7-78-92
Abstract
This study evaluates the channels of crises transmission from Russia to the CIS countries on the basis of a Bayesian vector autoregression model. The empirical base of the study consists of 11 macroeconomic indicators of the CIS countries on quarterly data for the period from 2002 to 2015. It has been revealed that the monetary channel of transmission plays the main role. The economy of the CIS countries reacts stronger to the financial stress in Russia than the Russian economy itself, and over time the impact of the financial stress in Russia on the economy of the CIS countries only increases on average by1.5-2 times throughout the year.
Keywords
financial integration,
CIS countries,
Bayesian vector autoregression model,
crisis,
transmission channel
JEL: Е58, F47, G18
About the Author
E. Fedorova
Financial University under the Government of RF; National Research University Higher School of Economics
Russian Federation
Russian Federation
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Review
For citations:
Fedorova E. The crisis in Russia and its spreadingover the CIS countries: Transmission channels. Voprosy Ekonomiki. 2016;(7):78-92. (In Russ.) https://doi.org/10.32609/0042-8736-2016-7-78-92
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