걸프통화동맹안의 경제적 안정성 분석
Vector Autoregression Evidence on Economic Stability of the Gulf Monetary Union
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초록
The purpose of this study is to analyze sustainability of the Gulf Monetary Union(GMU) which will be organized in future by using vector autoregressive model(VAR). The model is conducted to identify the influence relationship between macroeconomic variables in each of GCC countries and to check idiosyncratic risks and macro risks and then calculate its cumulative effects. The variables are world real GDP, oil price, oil & gas real GDP, non-oil & gas real GDP, real exchange rate and CPI for the period of 1990-2014. The main findings are as follows. First, employing Granger causality, there is no macro risk which is shared by all GCC countries. Bahrain and UAE have two same patterns, Kuwait, Qatar and Saudi Arabia share three patterns, Qatar and Saudi Arabia have two patterns. Second, the signs of the cumulative effects are identical as well so it supports the creation of the GMU in broad outline. However, some empirical results imply the several members would require different economic policies because the rise in the exchange rate has a different influence on oil GDP and non-oil GDP. For this reason, the GCC countries are needed to manage their speed of the economic diversification in balance.
Abstract
The purpose of this study is to analyze sustainability of the Gulf Monetary Union(GMU) which will be organized in future by using vector autoregressive model(VAR). The model is conducted to identify the influence relationship between macroeconomic variables in each of GCC countries and to check idiosyncratic risks and macro risks and then calculate its cumulative effects. The variables are world real GDP, oil price, oil & gas real GDP, non-oil & gas real GDP, real exchange rate and CPI for the period of 1990-2014. The main findings are as follows. First, employing Granger causality, there is no macro risk which is shared by all GCC countries. Bahrain and UAE have two same patterns, Kuwait, Qatar and Saudi Arabia share three patterns, Qatar and Saudi Arabia have two patterns. Second, the signs of the cumulative effects are identical as well so it supports the creation of the GMU in broad outline. However, some empirical results imply the several members would require different economic policies because the rise in the exchange rate has a different influence on oil GDP and non-oil GDP. For this reason, the GCC countries are needed to manage their speed of the economic diversification in balance.
참고문헌 (15)
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