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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

In this paper, we examine the relative importance of external shocks in domestic fluctuations of East Asian countries and check if these shocks lead to asymmetric or symmetric reactions between the considered economies. To this end, we estimate, over the period 1990.1-2010.4, a structural VAR model with block exogeneity (SVARX model) relying on a comprehensive set of external shocks. We firstly document a rising impact of these external shocks on domestic variables since the mid 1990s. Finally, real oil price and U.S. GDP shocks have a significant impact on domestic activity and lead to more symmetric responses, compared to U.S. monetary shock and MSCI Index financial shocks.

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Bibliographic Info

Paper provided by University of Paris West - Nanterre la Défense, EconomiX in its series EconomiX Working Papers with number 2012-1.

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Length: 38 pages
Date of creation: 2012
Date of revision:
Handle: RePEc:drm:wpaper:2012-1

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Keywords: external shocks; East Asia; SVARX model;

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Cited by:
  1. 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.
  2. Marine Coupaud, 2013. "Contagion Des Crises De 1997 Et 2008 En Asean+3: Un Modele Var Structurel," Working Papers hal-00913175, HAL.
  3. 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.

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