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The Impact of External Shocks in East Asia: Lessons from a Structural VAR Model with Block Exogeneity

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  • Jean-Pierre Allegret
  • Cécile Couharde
  • Cyriac Guillaumin

Abstract

Dans cet article, nous examinons l’importance des chocs externes sur les fluctuations domestiques des pays d’Asie de l’Est et vérifions si ces chocs conduisent à des réactions symétriques ou asymétriques des pays étudiés. Pour cela, nous estimons, sur la période 1990T1-2012T2, un modèle VAR structurel avec contrainte d’exogénéité (modèle SVARX) intégrant plusieurs types de chocs externes. Nous montrons un impact croissant de ces chocs externes sur les variables domestiques depuis le milieu des années 1990. Nous montrons également que les chocs sur le prix réel du pétrole et sur le PIB américain ont un impact significatif sur l’activité domestique et conduisent à des réactions davantage symétriques, en comparaison au choc monétaire américain et aux chocs financiers.

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Bibliographic Info

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

Volume (Year): (2012)
Issue (Month): 132 ()
Pages: 35-89

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Handle: RePEc:cii:cepiei:2012-q4-132-2

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Keywords: External Shocks; East Asia; SVARX Model;

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References

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Citations

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Cited by:
  1. 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.
  2. Giscard Assoumou Ella, 2013. "Impact of international income, prices and monetary shocks on real exchange rate in eight African economies: An empirical study," The Empirical Econometrics and Quantitative Economics Letters, Faculty of Economics, Chiang Mai University, vol. 2(3), pages 41 - 54, September.
  3. Marine Coupaud, 2013. "Contagion Des Crises De 1997 Et 2008 En Asean+3: Un Modele Var Structurel," Working Papers hal-00913175, HAL.

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