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External Shocks and Business Cycle Fluctuations in Mongolia: Evidence from a Large Bayesian VAR
Gan-Ochir Doojav,Davaajargal Luvsannyam 한국국제경제학회 2019 International Economic Journal Vol.33 No.1
This paper examines macroeconomic effects of external shocks and their transmission mechanisms in one of the most commodityabundant countries-Mongolia using a large Bayesian vector autoregression (BVAR) based on the approach proposed by Bańbura, Giannone, and Reichlin [(2010). Large Bayesian Vector Auto Regressions. Journal of Applied Econometrics,25, 71–92]. Nine structural shocks (five external and four domestic shocks) are identified using a recursive ordering. Results show that external shocks are important sources of macroeconomic volatility in Mongolia. Commodity price shocks affect the economy through exchange rate and budget expenditure channels, while China’s growth and FDI shocks are primarily transmitted through the real sector and bank lending channels.