Asian monetary integration: a structural VAR approach
AbstractThis paper examines whether forming an optimum currency area (OCA) is viable for the East Asian region by testing the symmetry of underlying structural shocks. A structural vector autoregression (VAR) method is used to identify the underlying shocks and to examine the correlation in shocks for specified sample periods. Decomposition of the variance of shocks and impulse response analysis are used to examine the size and the speed of adjustments to shocks. The results imply that some sub-regions are potential candidates for forming OCAs, as their shocks are correlated and small, and the economies adjust rapidly to such shocks.
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Bibliographic InfoArticle provided by Elsevier in its journal Mathematics and Computers in Simulation (MATCOM).
Volume (Year): 64 (2004)
Issue (Month): 3 ()
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Web page: http://www.journals.elsevier.com/mathematics-and-computers-in-simulation/
Optimum currency area; Vector autoregressions; Exchange rate; East Asian region;
Other versions of this item:
- Zhaoyong Zhang & Kiyotaka Sato & Michael McAleer, 2003. "Asian Monetary Integration: A Structural VAR Approach," CIRJE F-Series CIRJE-F-212, CIRJE, Faculty of Economics, University of Tokyo.
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