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Emerging Asia’s growth and integration: how autonomous are business cycles?

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  • Rüffer, Rasmus
  • Sánchez, Marcelo
  • Shen, Jian-Guang
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    Abstract

    Against the background of the rapid integration of emerging Asia into the global economy, this paper investigates the role of domestic and external factors in driving individual emerging economies in Asia. We estimate VAR models for ten countries over the period 1979Q1- 2003Q4, controlling for external factors, and use sign restrictions to identify structural domestic shocks. Variance decompositions indicate that Asian emerging economies are to a large part driven by external developments, and even more so employing a more recent sample. We analyse to what extent structural domestic shocks exhibit a regional dimension by comparing shocks across countries using correlation and principal component analysis. The extent of regional co-movement between structural shocks is relatively limited. While the principal components analysis indicates a moderate increase in co-movement over time, the correlation analysis finds a decline. This may reflect a broadening of regional integration at the expense of bilateral economic ties. JEL Classification: F15, F02, F41

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    Bibliographic Info

    Paper provided by European Central Bank in its series Working Paper Series with number 0715.

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    Date of creation: Jan 2007
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    Handle: RePEc:ecb:ecbwps:20070715

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    Related research

    Keywords: Economic integration; International Business Cycles; sign restrictions; structural shocks;

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    1. Beck, Günter W. & Hubrich, Kirstin & Marcellino, Massimiliano, 2006. "Regional inflation dynamics within and across euro area countries and a comparison with the US," CFS Working Paper Series 2007/01, Center for Financial Studies (CFS).
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    Cited by:
    1. Felices, Guillermo & Wieladek, Tomasz, 2012. "Are emerging market indicators of vulnerability to financial crises decoupling from global factors?," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 321-331.
    2. Hristov, Nikolay & Hülsewig, Oliver & Wollmershäuser, Timo, 2012. "Loan supply shocks during the financial crisis: Evidence for the Euro area," Munich Reprints in Economics 19367, University of Munich, Department of Economics.
    3. Renee Fry & Adrian Pagan, 2010. "Sign Restrictions in Structural Vector Autoregressions: A Critical Review," CAMA Working Papers 2010-22, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.

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