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

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  • Cyriac Guillaumin

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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Bibliographic Info

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

Volume (Year): (2008)
Issue (Month): 114 ()
Pages: 29-68

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Handle: RePEc:cii:cepiei:2008-2tb

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

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  1. Lawrence J. Christiano & Martin Eichenbaum & Robert Vigfusson, 2006. "Assessing Structural VARs," NBER Working Papers 12353, National Bureau of Economic Research, Inc.
    • Lawrence J. Christiano & Martin Eichenbaum & Robert Vigfusson, 2007. "Assessing Structural VARs," NBER Chapters, in: NBER Macroeconomics Annual 2006, Volume 21, pages 1-106 National Bureau of Economic Research, Inc.
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Cited by:
  1. Cécile Couharde & Cyriac Guillaumin, 2011. "Chocs externes et perspective d'union monétaire en Asie de l'Est : les enseignements d'un modèle VAR structurel," Post-Print halshs-00632373, HAL.
  2. Marien Coupaud, 2013. "Contagion des crises de 1997 et 2008 en ASEAN+3 : un modèle VAR structurel," Larefi Working Papers 1306, Larefi, Université Bordeaux 4.
  3. Marine Coupaud, 2013. "Contagion Des Crises De 1997 Et 2008 En Asean+3: Un Modele Var Structurel," Working Papers hal-00913175, HAL.
  4. Jean-Pierre Allegret & Cécile Couharde & Cyriac Guillaumin, 2012. "The Impact of External Shocks in East Asia: Lessons from a Structural VAR Model with Block Exogeneity," EconomiX Working Papers 2012-1, University of Paris West - Nanterre la Défense, EconomiX.

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