Front Matter Page
Middle Eastern Department
Authorized for distribution by Milan Zavadjil
Contents
I. Introduction
II. Stochastic Approach to Macroeconomic Dynamics
A. Literature at a Glance
B. Estimation Strategy and Data Sources
III. Econometric Results and Interpretation
A. Model Identification
B. Model Estimation and Interpretation of the Results
C. Diagnostic and Hypothesis Testing
IV. Conclusions
References
Text Tables
1. Arab Countries: Classification
2. ADF(1) Statistics for Testing for a Unit Root in External Variables
3. Cointegration Analysis of External Variables
4. Arab Countries: Summary Statistics, 1971-97
5. Arab Countries: Factors Affecting Macroeconomic Dynamics
6. Test for Group Homogeneity
Appendices
I. Panel Vector Autoregression (PVAR)
II. Definitions of Variables
III. IMF Arrangements in Selected Arab Countries, 1971-98
IV. ADF (1) Unit Root Test for Country-Specific Variables
V. External Variables: Lag Selection for Cointegration Analysis
VI. Selected Arab Countries: VAR Lag Selection
VII. All Arab Countries: External and Country-Specific Factors Affecting Macroeconomic Dynamics
VIII. Factors Affecting Macroeconomic Dynamics
Table 1: Factors Affecting Growth of Real GDP Per Capita
Table 2. Factors Affecting Fiscal Balance
Table 3. Factors Affecting Current Account
IX. Variance Decomposition
Table 1. Program Countries: Variance Decomposition
Table 2. Nonprogram Countries: Variance Decomposition
Table 3. Oil Countries: Variance Decomposition
Table 4. Non-oil Countries: Variance Decomposition
Table 5. Non-oil Nonprogram Countries: Variance Decomposition
X. Pairwise Granger Causality Tests
Figures
1. Evolution of External Variables, 1971-97
2. Arab Countries: Impact of an Oil Price Shock
2a. Arab Countries: Impact of a Nominal Price Shock
2b. Arab Countries: Impact of a Demand Shock
2c. Arab Countries: Impact of an Interest Rate Shock
3. Program and Non-oil Nonprogram Countries: Impact of Selected Shocks
Box
Comparative Dynamics of Arab Countries: Impact of Oil Price Shock on Fiscal Balance