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Golitsis, P., Bellos, S., Alexandridis, A. The EMU-REER Spillovers on Southeastern European Economies: A G-VAR Model. Applied Economics Quarterly, 66(4), 259-290.
Golitsis, Petros; Bellos, Sotirios K. and Alexandridis, Anastasios "The EMU-REER Spillovers on Southeastern European Economies: A G-VAR Model" Applied Economics Quarterly 66.4, , 259-290.
Golitsis, Petros/Bellos, Sotirios K./Alexandridis, Anastasios: The EMU-REER Spillovers on Southeastern European Economies: A G-VAR Model, in: Applied Economics Quarterly, vol. 66, iss. 4, 259-290, [online]


The EMU-REER Spillovers on Southeastern European Economies: A G-VAR Model

Golitsis, Petros | Bellos, Sotirios K. | Alexandridis, Anastasios

Applied Economics Quarterly, Vol. 66 (2020), Iss. 4 : pp. 259–290

2 Citations (CrossRef)

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Author Details

Petros Golitsis, corresponding author at: Business and Economics Department, City College, University of York Europe Campus, 3 Leontos Sofou Street, 546 26, Thessaloniki, Greece.

Sotirios K. Bellos, City College, University of York Europe Campus, Thessaloniki, Greece, and South Eastern Europe Research Centre, Thessaloniki, Greece.

Anastasios Alexandridis, City College, University of York Europe Campus, Thessaloniki, Greece.

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In this paper, we empirically investigate the spillovers of Real Effective Exchange rate of European Monetary Union (EMU-REER) on Industrial Production, Real Effective Exchange rate, Foreign Reserves and interest rates for the South Eastern European (SEE) economies of Bulgaria, Croatia, Greece, North Macedonia, Romania, and Slovenia, using monthly data over 2002–2016. In a global vector autoregressive framework with EMU-REER as a global variable, we show that the EMU variable has a lasting impact on the SEE variables and economies. Specifically, we provide strong evidence that this impact of EMU-REER is not only of a greater importance compared to the importance of the domestic variables, but also that it negatively affects the competitive stance of the investigated SEE economies, which is partly compensated by the lower interest rates that certain SEE countries face in return. Our results offer potential policy implications with respect to monetary policy coordination and discretion.

Table of Contents

Section Title Page Action Price
Petros Golitsis / Sotirios K. Bellos / Anastasios Alexandridis: The EMU-REER Spillovers on Southeastern European Economies: A G-VAR Model 1
Abstract 1
1. Introduction 1
2. Literature Review 3
3. Transmission Mechanism 6
4. Data and Empirical Methodology 7
4.1 Variables and Data Sources 7
4.2 The G-VAR model 9
4.2.1. Weak Exogeneity 1
4.2.2 Robustness Tests of the G-VAR and the Relative Eigenvalues 1
4.2.3 The Effects of Foreign Variables on the Corresponding Domestic Ones and the Pairwise Cross-Section Correlations 1
4.2.4 Generalized Impulse Response Functions (GIRFs) 1
5. Empirical Results and Discussion 1
6. Concluding Remarks 2
References 2
Appendix 2
Trade Weight Matrix 2
Unit Root Tests 2
Specification and Estimation of the Country-Specific Models 2
Robustness checks 2
1. Testing Weak Exogeneity 2
2. Testing Structural Stability, Persistent Profiles and Bootstraps 3
3. Pair-Wise Cross-Section Correlations: Variables and Residuals 3