International linkages and external shocks: A Global VAR perspective for Belarus. Evidence from different model specifications

Belarus as a small, open economy is closely integrated into the global economy via complex commodity, trade and financial channels. The empirical investigation of the impact of different external shocks, e.g. changes in the global price of crude oil, or a recession in Belarus’ main trading partners on its main macroeconomic variables like GDP, inflation and the exchange rate is of concern to policymakers and researchers alike.

In this policy study, we use a very modern and sophisticated econometric approach to investigate these issues further. The Global Vector Autoregression (GVAR) as a multi-country model has been specifically developed to study such global macroeconomic issues, and has to our knowledge not previously been applied to the case of Belarus.

In our empirical GVAR work, we use two distinct modelling approaches. In the first step, we analyse the propagation of shocks in a small model of the Eurasian Economic Union (EAEU), which comprises the five member countries, including Belarus, as well as some selected external variables. The second step involves a much larger data-set of 35 countries, which allows a much deeper analysis of economic cross-border links.

To the list of articles