E3 Journal of Business Management and Economics

E3 Journal of Business Management and Economics Vol. 5 (3) pp. 063-070, March 2014; © E3 Journals; ISSN 2141-7482

A re-estimation of the impact of the subprime crisis on the economic growth of some emerging countries: Vector-Error correction model

Kamel HELALI¹^*, Mouna REKIK¹
¹Department of Applied Quantitative Methods, Faculty of Economics and Management of Sfax, University of Sfax. Tunisia.
^*Corresponding Author E-mail: helali.kamel@gmail.com
Accepted 25 February 2014

Abstract

This paper deals with the analysis of a group of emerging countries so as to identify the scale of the subprime crisis on their economic growth. In this context, we will discuss a panel data analysis. We will try to econometrically examine the real impact of the crisis on the economic growth in six emerging countries through five channels: the interest rate channel, the wealth impact channel, the bank lending channel, the shock and uncertainty channel and the trade channel, over the period 2002-2011. According to the estimates of the VECM model, there is a long-run relationship between the consumer price index, the exports and the interbank spread on economic growth. However, the long-run estimate indicates no relationship between economic growth and volatility and the stock price performance.

Keywords: Sub-prime crisis, emerging countries, VECM, transmission channels

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