Dua Pami, Tuteja Divya
Department of Economics, Delhi School of Economics, New Delhi, India.
Indian Institute of Foreign Trade, Delhi, India.
J Quant Econ. 2023;21(2):317-337. doi: 10.1007/s40953-023-00343-0. Epub 2023 Apr 4.
We study the impact of recent crisis episodes viz the Great Recession of 2007-09, the Euro Area crisis of 2010-12 and the COVID-19 pandemic of 2020-21 on the Emerging Market Economies (EMEs) of China and India using data from January, 1986 till June, 2021. A Markov-switching (MS) analysis is applied to discern economy-specific cycles/regimes and common cycles/regimes in the growth rates of the economies. We apply the univariate MS Autoregressive (MS-AR) model to characterize country-specific negative growth, moderate growth and high growth regimes of China and India. We examine the extent of overlap of the identified regimes with the Great Recession, the Eurozone crisis, and the COVID-19 pandemic. Thereafter, we study the regimes depicting common phases in growth rates of China-India and China-India-US by using multivariate MS Vector Autoregressive (MS-VAR) models. The multivariate analysis shows the presence of common negative growth during the turbulent periods during the study period. These results can be explained by the existence of strong trade and financial linkages between the two EMEs and the Advanced economies. The pandemic triggered a recession in the Chinese, Indian and U.S. economies and its impact on growth is much worse than the Great Recession and the Eurozone crises.
我们利用1986年1月至2021年6月的数据，研究了近期危机事件，即2007 - 2009年的大衰退、2010 - 2012年的欧元区危机以及2020 - 2021年的新冠疫情，对中国和印度这两个新兴市场经济体（EMEs）的影响。应用马尔可夫切换（MS）分析来识别各经济体增长率中特定于经济体的周期/状态以及共同的周期/状态。我们应用单变量MS自回归（MS - AR）模型来刻画中国和印度特定于国家的负增长、适度增长和高增长状态。我们考察所识别出的状态与大衰退、欧元区危机以及新冠疫情的重叠程度。此后，我们通过使用多变量MS向量自回归（MS - VAR）模型来研究描绘中印以及中印美增长率共同阶段的状态。多变量分析表明，在研究期间的动荡时期存在共同的负增长。这些结果可以通过这两个新兴市场经济体与发达经济体之间存在紧密的贸易和金融联系来解释。疫情引发了中国、印度和美国经济的衰退，其对增长的影响比大衰退和欧元区危机要严重得多。
