Advanced Search
MyIDEAS: Login to save this paper or follow this series

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

Contents:

Author Info

  • Cyriac Guillaumin

    ()
    (CEPN - Centre d'économie de l'Université de Paris Nord - CNRS : UMR7115 - Université Paris-Nord - Paris XIII)

Abstract

L'objectif de ce papier est d'identifier le degré d'(a)symétrie des chocs macroéconomiques et d'examiner leur évolution au fil du temps pour les pays de l'Asean+3 afin de mieux comprendre les choix en terme de régime de change. Notre analyse s'effectue en deux temps. Dans un premier temps, nous utilisons un processus VAR structurel (SVAR) pour décomposer, selon la méthodologie de Blanchard et Quah (1989), les chocs macroéconomiques puis déterminer leur degré de corrélation. Toutefois, les coefficients de corrélation ne permettent pas de juger l'évolution de l'(a)symétrie des chocs. Ainsi, le calcul des coefficients de corrélation inconditionnelle entre les chocs subit un défaut d'invariance structurelle adressant une critique de Lucas (1976) à la plupart des travaux en termes de symétrie des chocs au sujet de la dynamique des zones monétaires optimales. Pour tenter de corriger ce problème, nous élargissons l'analyse des chocs d'offre et de demande en mesurant une corrélation dans le temps comme le propose Boone (1997) permettant ainsi d'observer l'évolution de la convergence des structures entre économies de l'Asean+3. Pour cela, nous utilisons une méthodologie dynamique basée sur le filtre de Kalman. Les résultats montrent qu'il n'y a pas de convergence globale au niveau de la zone. Cependant, une analyse plus spécifique montre qu'il existe une convergence relative des chocs de demande entre certains pays. Nos résultats font également apparaître que la crise financière de 1997 n'a pas eu les mêmes effets sur les pays de l'Asean+3 et qu'il y a une avant et un après crise.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://hal.archives-ouvertes.fr/docs/00/19/26/26/PDF/guillaumin.pdf
Download Restriction: no

Bibliographic Info

Paper provided by HAL in its series Post-Print with number hal-00192626.

as in new window
Length:
Date of creation: 22 Nov 2007
Date of revision:
Publication status: Published - Presented, 6ème Journée d'Econométrie, 2007, Nanterre, France
Handle: RePEc:hal:journl:hal-00192626

Note: View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00192626/en/
Contact details of provider:
Web page: http://hal.archives-ouvertes.fr/

Related research

Keywords: (a)symétrie des chocs; convergence des cycles économiques; VAR structurels; filtre de Kalman; Asean+3;

Other versions of this item:

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Thiam Hee NG, 2002. "Should The Southeast Asian Countries Form A Currency Union?," The Developing Economies, Institute of Developing Economies, vol. 40(2), pages 113-134, 06.
  2. Jordi Galí & Richard Clarida, 1993. "Sources of real exchage rate fluctuations: How important are nominal shocks?," Economics Working Papers 66, Department of Economics and Business, Universitat Pompeu Fabra, revised Jan 1994.
  3. Bayoumi, Tamim & Eichengreen, Barry, 1992. "Shocking Aspects of European Monetary Unification," CEPR Discussion Papers 643, C.E.P.R. Discussion Papers.
  4. 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.
  5. Francois-Éric Racicot & Raymond Théoret, 2005. "Quelques applications du filtre de Kalman en finance: estimation et prévision de la volatilité stochastique et du rapport cours-bénéfices," RePAd Working Paper Series UQO-DSA-wp0312005, Département des sciences administratives, UQO.
  6. Daniel F. Waggoner & Tao Zha, 2000. "Likelihood-preserving normalization in multiple equation models," Working Paper 2000-8, Federal Reserve Bank of Atlanta.
  7. Chow, Hwee Kwan & Kim, Yoonbai, 2003. "A common currency peg in East Asia? Perspectives from Western Europe," Journal of Macroeconomics, Elsevier, vol. 25(3), pages 331-350, September.
  8. Carlos Cortinhas, 2006. "Asymmetry of Shocks and Convergence in Selected Asean Countries: A Dynamic Analysis," NIPE Working Papers 3/2006, NIPE - Universidade do Minho.
  9. Bayoumi, Tamim & Eichengreen, Barry, 1992. "Shocking Aspects of Monetary Unification," Department of Economics, Working Paper Series qt791143kp, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
  10. Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 19-46, January.
  11. Xu, Xinpeng, 2006. "A currency union for Hong Kong and Mainland China?," Journal of International Money and Finance, Elsevier, vol. 25(6), pages 894-911, October.
  12. Bamba, Lambert N'galadjo, 2004. "Analyse du Processus de Convergence Dans la Zone UEMOA," Working Paper Series UNU-WIDER Research Paper , World Institute for Development Economic Research (UNU-WIDER).
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Marine Coupaud, 2013. "Contagion Des Crises De 1997 Et 2008 En Asean+3: Un Modele Var Structurel," Working Papers hal-00913175, HAL.
  2. 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.
  3. 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.
  4. 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.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-00192626. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CCSD).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.