هل تؤثر الأزمة المالية العالمية في الاقتصاد السعودي؟ تحليل عبر نموذج التقهقر الذاتي البنيوي

Ghassan, Hassan B. and Taher, Farid B. and AlDehailan, Salman (2010): هل تؤثر الأزمة المالية العالمية في الاقتصاد السعودي؟ تحليل عبر نموذج التقهقر الذاتي البنيوي. Published in: Islamic Economic Studies (Arabic Edition) , Vol. 17, No. 2 (7 September 2011): pp. 1-34.

Abstract

The paper aims to exhibit the impacts of the international financial crisis on the real economy of Saudi Arabia through economic and financial channels, which connect the Saudi economy to the world economy. Based on the mechanism of international liquidity and its relationship to the net-exports and GDP, and using database from 1968 to 2009, we estimate SVAR model founded the interpretation of structural shock of the global reserves assets as a shock in the international financial markets, and as a shock in the monetary and financial government policies. The findings indicate that a negative shock of international liquidity i.e. more foreign reserves assets leads in the long-run to real economic growth after its fall back in the short-run. This economic growth could allow increase in net-exports with the probable decrease in the imports. We expect that the simulated negative shocks from the monetary authorities would reduce the saving glut effect in the Saudi economy and transform it to an absorption effect. If the negative shock happening during the last international financial crisis, due to the decrease in the foreign asset prices, has a transitory impact on GDP, it is more expected in the future that will have a permanent impact.

• Item Type: MPRA Paper
• English Title: Does the International Financial Crisis impact the Saudi Arabia Economy? SVAR Model Analysis
• Language: Arabic
• Keywords: International financial crisis, net-exports, international liquidity, Shocks, SVAR, Saudi Arabia.
• Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation; F - International Economics > F3 - International Finance; G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets

References

1. Amisano, G. & C. Giannini (1997), Topics in Structural VAR Econometrics, 2nd Edition, Springer-Verlag, Berlin.

2. Aoki, M. and H. Yoshikawa, (2007), Reconstructing Macroeconomics: A Perspective from Statistical Physics and Combinatorial Stochastic Processes. Cambridge University Press: Cambridge and New York.

3. Banerjee, A., (1992), “A Simple Model of Herd Behavior”, Quarterly Journal of Economics 107, 787-818.

4. Belke, A. Orth, W. Setzer R. (2010), “Liquidity and the dynamic pattern of asset price adjustment: A global view”, Journal of Banking & Finance, doi:10.1016/j.jbankfin.2009.12.012.

5. Bernanke, BS., (2005), “The Global Saving Glut and the U.S. Current Account Deficit” Homer Jones Memorial Lecture, St. Louis, Missouri, April 14, 2005, available at: http://www.federalreserve.gov/boarddocs/speeches/2005/200503102/

6. Bracke, T. and M. Fidora (2008), “Global Liquidity Glut or Global Savings Glut?’, Working Paper Series, European Central Bank 911. http://www.ecb.europa.eu

7. Blanchard, O. (2009), “The Perfect Storm”. Finance and Development, June, 37-39.

8. Blanchard, O. and R. Perotti, X (2002), “An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output”. The Quarterly Journal of Economics, MIT Press, vol. 117(4), November: 1329-1368.

9. Breitung, J. & R. Brüggemann, & H. Lütkepohl (2004), Structural Vector Autoregressive modeling, In H. Lutkepohl and M. Kratzig (Eds.), Applied Time Series Econometrics, Cambridge University Press, Cambridge UK.

10. Central Department of Statistics & Information. Ministry of Finance and Planning, Riyadh, Saudi Arabia. Many Reports.

11. Calvo, G. (1998), “Capital Flows and Capital Market Crises: The Simple Economics of Sudden Stops” Journal of Applied Economics 1(1), November: 35-54.

12. Clarida, R.H., (2005), “Japan, China, and the U.S. Current Account Deficit” CATO Journal 25, 111–114.

13. Chamley, C. P., (2002), Rational Herds: Economic Models of Social Learning, Cambridge University Press: Cambridge.

14. Dell’ Ariccia, G., E. Detragiache and R. Rajan, (2008) “The real effect of banking crises” Journal of Financial Intermediation 17: 89-112.

15. Dooley, M., Folkerts-Landau, D., P. Garber (2004), “The US Current Account Deficit and Economic Development: Collateral for a Total Return Swap” NBER Working Paper 10727, Cambridge, MA.

16. ESCWA, (2009), “The Impacts of the International Financial and Economic Crisis on ESCWA member Countries: Challenges and Opportunities” Economic and Social Commission for Western Asia, Technical Report Paper 3, United Nations, New York.

17. Galindo, A. & F. Schiantarelli and A. Weiss (2007), “Does Financial Liberalization Improve the Allocation of Investment? Micro-evidence from Developing Countries” Journal of Development Economics 83(2): 562–587.

18. Hossain A.M. (2009), “The US Financial Crisis, Global Recession and Monetary Policy: An Assessment from the East Asian Perspective”. Symposium on Multiple Facets of Governance. Working Paper, University of Newcastle, Australia.

19. International Monetary Fund, (2008), “World Economic Outlook: Financial Stress, Downturns, and Recoveries”, IMF, Washington, DC.

20. Kadi, A. (2009), “Sovereign Funds and the Current International Crisis”. Revue des Economics Nord Africaines 6, 1-16.

21. Kamps, C. (2004), The Dynamic Macroeconomic Effects of Public Capital: Theory and Evidence from OECD countries, Springer.

22. Kashyap, A., Rajan, R., Stein, J. (2008), The Global Roots of the Current Financial Crisis and its Implications for Regulation. Paper Presented at the Bank of Finland, Helsinki.

23. Loungani, P. (2009), “Seeing Crises Clearly”. Finance and Development, March, 4-7.

24. Frankel, J. (2006), “Could Twin Deficits Jeopardize US Hegemony?” Journal of Policy Modeling 28(6): 653-663.

25. Lutkepohl, H. and M. Kratzig (2004), Applied Time Series Econometrics, Cambridge University Press, Cambridge UK.

26. Mehrara, M. and K.N. Oskoui (2007), “The sources of macroeconomic fluctuations in oil exporting countries: A comparative study”. Economic Modeling, 24(3): 365-379.

27. Mussa, M. (2007), “The Dollar and the Current Account Deficit: How Much Should We Worry?”. Journal of Policy Modeling, 29: 691-696.

28. Portes, R. (2009), “Global Imbalances”. Mimeo., London Business School, London.

29. Roubini, N., B. Setser, (2005), “Will the Bretton Woods 2 Regime Unravel Soon? The Risk of a Hard Landing in 2005–2006”. Federal Reserve Bank of San Francisco Proceedings, February.

30. Sadik, A.T., A.A. Bolbol (2003), “Arab External Investments: Relation to National Wealth, Estimation, and Consequences” World Development, Volume 31, Issue 11: 1771-1792.

31. SAMA. (2008), Annual Report 44, Riyadh, Saudi Arabia.

32. Sester, B., Ziemba, R. (2007), “Understanding the new Financial Superpower: the Management of GCC Official Reserves Assets”. Roubini Global Economics (RGE) Monitor.

33. Stiglitz, J. (2000), “Capital Market Liberalization, Economic Growth and Instability” World Development 28(6): 1075-1086.

34. Turalay Kenc, Sel Dibooglu, (2010), “The 2007–2009 Financial Crisis, Global Imbalances and Capital Flows: Implications for Reform”. Economic Systems 34: 3–21.

35. Velasco, Andres (1987), “Financial Crises and Balance of Payments Crises: A Simple Model of Southern Cone Experience” Journal of Development Economics 27(1-2): 263-283.

36. Wang, P. (2010), The Economics of Foreign Exchange and Global Finance. ISBN: 978-3-642-11136-5, Springer.

37. Woertz, E. (2008), “Impact of the US Financial Crisis on GCC Countries”. Gulf Research Center GRC, October Report, Dubai.