A TVP-VAR assessment of the spillover effects of geopolitical risk shocks on macroeconomic variability: a study of the Ghanaian economy
Abstract Our study verified the implications of the spillover of geopolitical risk (GPR) shocks to the economic crisis in Ghana. Our analysis employed the VAR-based spillover models by Diebold and Yilmaz (Int J Forecast 28:57–66, 2012; J Econ 182:119–134, 2014) and the Time-Varying Parameter Vector...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2024-05-01
|
| Series: | Future Business Journal |
| Subjects: | |
| Online Access: | https://doi.org/10.1186/s43093-024-00341-5 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1850132723880951808 |
|---|---|
| author | Kwame Ofori Asomaning Shah Hamayoon Emmanuel Uche |
| author_facet | Kwame Ofori Asomaning Shah Hamayoon Emmanuel Uche |
| author_sort | Kwame Ofori Asomaning |
| collection | DOAJ |
| description | Abstract Our study verified the implications of the spillover of geopolitical risk (GPR) shocks to the economic crisis in Ghana. Our analysis employed the VAR-based spillover models by Diebold and Yilmaz (Int J Forecast 28:57–66, 2012; J Econ 182:119–134, 2014) and the Time-Varying Parameter Vector Autoregressive (TVP-VAR) connectedness approach by Gabauer and Antonakakis (Munich personal RePEc archive refined measures of dynamic connectedness based on TVP-VAR refined measures of dynamic connectedness based on TVP-VAR*, 2017). We scrutinized the interconnections and transmission mechanisms among key macro-financial variables spanning from 2000 to 2022. Our findings indicate that GPR is a fundamental source of shocks to the foreign exchange reserve (FXI), real exchange rate (REER), consumer price index (CPI), and debt. Other significant contributors include export (EXP) and import (IMP), with EXP standing out as the main shock transmitter. On the receiving end, CPI is most impacted by transmissions from IMP and GPR. Our study demonstrates that EXP and IMP are the top shock contributors, while FXI and CPI are the major recipients of these shocks. Such findings provide policymakers with valuable insights into the ramifications of geopolitical risk on the macroeconomic environment. Hence, policymakers are expected to provide necessary buffers to curb the influence of geopolitical risks on the economy. |
| format | Article |
| id | doaj-art-1fcab43b48dd4d469bc95a9aa6f24b76 |
| institution | OA Journals |
| issn | 2314-7202 2314-7210 |
| language | English |
| publishDate | 2024-05-01 |
| publisher | SpringerOpen |
| record_format | Article |
| series | Future Business Journal |
| spelling | doaj-art-1fcab43b48dd4d469bc95a9aa6f24b762025-08-20T02:32:08ZengSpringerOpenFuture Business Journal2314-72022314-72102024-05-0110111310.1186/s43093-024-00341-5A TVP-VAR assessment of the spillover effects of geopolitical risk shocks on macroeconomic variability: a study of the Ghanaian economyKwame Ofori Asomaning0Shah Hamayoon1Emmanuel Uche2Sacred Heart UniversityLahore University of Management Science (LUMS)School of Economics, College of Business & Economics, University of JohannesburgAbstract Our study verified the implications of the spillover of geopolitical risk (GPR) shocks to the economic crisis in Ghana. Our analysis employed the VAR-based spillover models by Diebold and Yilmaz (Int J Forecast 28:57–66, 2012; J Econ 182:119–134, 2014) and the Time-Varying Parameter Vector Autoregressive (TVP-VAR) connectedness approach by Gabauer and Antonakakis (Munich personal RePEc archive refined measures of dynamic connectedness based on TVP-VAR refined measures of dynamic connectedness based on TVP-VAR*, 2017). We scrutinized the interconnections and transmission mechanisms among key macro-financial variables spanning from 2000 to 2022. Our findings indicate that GPR is a fundamental source of shocks to the foreign exchange reserve (FXI), real exchange rate (REER), consumer price index (CPI), and debt. Other significant contributors include export (EXP) and import (IMP), with EXP standing out as the main shock transmitter. On the receiving end, CPI is most impacted by transmissions from IMP and GPR. Our study demonstrates that EXP and IMP are the top shock contributors, while FXI and CPI are the major recipients of these shocks. Such findings provide policymakers with valuable insights into the ramifications of geopolitical risk on the macroeconomic environment. Hence, policymakers are expected to provide necessary buffers to curb the influence of geopolitical risks on the economy.https://doi.org/10.1186/s43093-024-00341-5Geopolitical risksMacroeconomic crisisTVP-VARGhana |
| spellingShingle | Kwame Ofori Asomaning Shah Hamayoon Emmanuel Uche A TVP-VAR assessment of the spillover effects of geopolitical risk shocks on macroeconomic variability: a study of the Ghanaian economy Future Business Journal Geopolitical risks Macroeconomic crisis TVP-VAR Ghana |
| title | A TVP-VAR assessment of the spillover effects of geopolitical risk shocks on macroeconomic variability: a study of the Ghanaian economy |
| title_full | A TVP-VAR assessment of the spillover effects of geopolitical risk shocks on macroeconomic variability: a study of the Ghanaian economy |
| title_fullStr | A TVP-VAR assessment of the spillover effects of geopolitical risk shocks on macroeconomic variability: a study of the Ghanaian economy |
| title_full_unstemmed | A TVP-VAR assessment of the spillover effects of geopolitical risk shocks on macroeconomic variability: a study of the Ghanaian economy |
| title_short | A TVP-VAR assessment of the spillover effects of geopolitical risk shocks on macroeconomic variability: a study of the Ghanaian economy |
| title_sort | tvp var assessment of the spillover effects of geopolitical risk shocks on macroeconomic variability a study of the ghanaian economy |
| topic | Geopolitical risks Macroeconomic crisis TVP-VAR Ghana |
| url | https://doi.org/10.1186/s43093-024-00341-5 |
| work_keys_str_mv | AT kwameoforiasomaning atvpvarassessmentofthespillovereffectsofgeopoliticalriskshocksonmacroeconomicvariabilityastudyoftheghanaianeconomy AT shahhamayoon atvpvarassessmentofthespillovereffectsofgeopoliticalriskshocksonmacroeconomicvariabilityastudyoftheghanaianeconomy AT emmanueluche atvpvarassessmentofthespillovereffectsofgeopoliticalriskshocksonmacroeconomicvariabilityastudyoftheghanaianeconomy AT kwameoforiasomaning tvpvarassessmentofthespillovereffectsofgeopoliticalriskshocksonmacroeconomicvariabilityastudyoftheghanaianeconomy AT shahhamayoon tvpvarassessmentofthespillovereffectsofgeopoliticalriskshocksonmacroeconomicvariabilityastudyoftheghanaianeconomy AT emmanueluche tvpvarassessmentofthespillovereffectsofgeopoliticalriskshocksonmacroeconomicvariabilityastudyoftheghanaianeconomy |