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MENA aggregate cycle and world conjuncture: Episodes of volatility and symmetry, and an ADL cointegration test

Garfa, Kamel (2011): MENA aggregate cycle and world conjuncture: Episodes of volatility and symmetry, and an ADL cointegration test.

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Abstract

This paper studies the cyclical fluctuations of the Middle East and North Africa countries in interaction with world conjuncture. The purpose is to evaluate in which measure the volatility and the symmetry of these countries had been modified quite particularly after their external integration. We adopt what we qualify as the aggregate cycle of MENA countries in orders to exanimate his evolution towards the G7, the European and the Anglo-Saxon business cycles over 1970-2010 periods. The filter of Hodrick-Prescott is applied in order to decompose the real GDP of the MENA and the most industrialized countries into trend and cyclical components. These last ones will be used to answer the composed questions on various temporal horizons, contemporary, the short term, and the long term. Two approaches will be used: A static one, based on properties of variability, co-variation and correlation, and a dynamic one, based on the study of the long term relations through an Autoregressive Distributed Model and the study of short term dynamics through an Error Correction Model.

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