Abstract

In this paper we employ a Global Vector Autoregressive Model (G-VAR) to examine macroeconomic and international monetary spillovers within the South Eastern European Countries over the period 2002–2016. In particular, we investigate how shocks in Euribor affect domestic interest rates, real effective exchange rates, foreign exchange reserves and the industrial production in six countries, namely Bulgaria, Croatia, Greece, North Macedonia, Romania and Slovenia, using monthly data. Our analysis shows that a negative Euribor shock has a positive effect, but of different size, on the industrial production across the countries. There is limited evidence regarding the effects of Euribor on foreign reserves, interest rates, and the real effective exchange rate. Our results provide significant implications and insights for authorities and policy makers.

摘要

在本文中，我们采用全球向量自回归模型（G-VAR）来研究2002-2016年间东南欧国家内部的宏观经济和国际货币溢出效应。特别是，我们使用月度数据调查了六个国家（保加利亚，克罗地亚，希腊，北马其顿，罗马尼亚和斯洛文尼亚）中欧里伯（Euribor）的冲击如何影响其国内利率，实际有效汇率，外汇储备和工业生产。我们的分析表明，负面的Euribor冲击会对整个国家的工业生产产生积极的影响，但规模不同。关于Euribor对外汇储备，利率和实际有效汇率的影响的证据有限。我们的结果为当局和决策者提供了重要的启示和见解。