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(A)symetrie et convergence des chocs macroeconomiques en Asie de l'Est : une analyse dynamique

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Author Info
Cyriac Guillaumin

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Abstract

L’objectif de cet article est d’identifier le degre d’(a)symetrie des chocs macroeconomiques qui affectent les pays de l’Asean+3 et d’examiner leur evolution au cours du temps afin de mieux comprendre l’enjeu d’une zone monetaire asiatique. Dans un premier temps, nous utilisons un processus VAR structurel pour decomposer les chocs macroeconomiques puis determiner leur degre de correlation. Ces coefficients de correlation sont calcules de maniere inconditionnelle sur toute la periode, ce qui ne permet pas de saisir leur evolution. C’est pourquoi, dans un second temps, nous utilisons une methodologie basee sur les modeles a parametres variables dans le temps. Les resultats montrent que les chocs de demande, monetaires et externes sont tres correles entre les pays d’Asie de l’Est. Cependant, les chocs d’offre sont plus heterogenes, surtout depuis la crise financiere de 1997. Nous montrons egalement que les chocs de demande, monetaires et externes convergent davantage que les chocs d’offre pour la plupart des pays. Ces resultats seraient un argument en faveur des changes fixes a l’interieur de la region, du type union monetaire par exemple.

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Publisher Info
Article provided by CEPII research center in its journal Economie Internationale.

Volume (Year): (2008)
Issue (Month): 2Q ()
Pages: 29-68
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Handle: RePEc:cii:cepiei:2008-2tb

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Related research
Keywords: (a)symetrie des chocs; VAR structurels; filtre de Kalman; Asean+3;

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Find related papers by JEL classification:
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
F15 - International Economics - - Trade - - - Economic Integration
F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions

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  2. Waggoner, Daniel F. & Zha, Tao, 2003. "Likelihood preserving normalization in multiple equation models," Journal of Econometrics, Elsevier, vol. 114(2), pages 329-347, June. [Downloadable!] (restricted)
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  3. Bayoumi, Tamim & Eichengreen, Barry, 1992. "Shocking Aspects of European Monetary Unification," CEPR Discussion Papers 643, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  4. Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 19-46, January. [Downloadable!] (restricted)
  5. Bamba, Lambert N'galadjo, 2004. "Analyse du Processus de Convergence Dans la Zone UEMOA," Working Papers UNU-WIDER Research Paper , World Institute for Development Economic Research (UNU-WIDER). [Downloadable!]
  6. Carlos Cortinhas, 2006. "Asymmetry of Shocks and Convergence in Selected Asean Countries: A Dynamic Analysis," NIPE Working Papers 3/2006, NIPE - Universidade do Minho. [Downloadable!]
  7. Xu, Xinpeng, 2006. "A currency union for Hong Kong and Mainland China?," Journal of International Money and Finance, Elsevier, vol. 25(6), pages 894-911, October. [Downloadable!] (restricted)
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  9. Francois-Éric Racicot & Raymond Théoret, 2005. "Quelques applications du filtre de Kalman en finance: estimation et prévision de la volatilité stochastique et du rapport cours-bénéfices," RePAd Working Paper Series UQO-DSA-wp0312005, Département des sciences administratives, UQO. [Downloadable!]
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