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

The impact of external shocks in East Asia : lessons from a structural VAR model with block exogeneity

Contents:

Author Info

  • Jean-Pierre Allegret

    (EconomiX - CNRS : UMR7166 - Université Paris X - Paris Ouest Nanterre La Défense)

  • Cécile Couharde

    (EconomiX - CNRS : UMR7166 - Université Paris X - Paris Ouest Nanterre La Défense)

  • Cyriac Guillaumin

    ()
    (CREG - Centre de recherche en économie de Grenoble - Université Pierre Mendès-France - Grenoble II : EA4625)

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 risingimpact 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.

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://halshs.archives-ouvertes.fr/docs/00/69/73/10/PDF/pub12011.pdf
Download Restriction: no

Bibliographic Info

Paper provided by HAL in its series Post-Print with number halshs-00697310.

as in new window
Length:
Date of creation: 2012
Date of revision:
Handle: RePEc:hal:journl:halshs-00697310

Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00697310
Contact details of provider:
Web page: http://hal.archives-ouvertes.fr/

Related research

Keywords: external shocks ; financial crisis ; SVARX model ; East Asia;

Other versions of this item:

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

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. Christopher A. Sims & Tao Zha, 1994. "Error Bands for Impulse Responses," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1085, Cowles Foundation for Research in Economics, Yale University.
  2. Clarida, R. & Gali, J., 1993. "Sources of Real Exchange Rate Fluctuations: How Important are Nominal Shocks?," Discussion Papers, Columbia University, Department of Economics 1993_25, Columbia University, Department of Economics.
  3. Eric M. Leeper & Christopher A. Sims & Tao Zha, 1996. "What Does Monetary Policy Do?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 27(2), pages 1-78.
  4. Sato, Kiyotaka & Zhang, Zhaoyong & McAleer, Michael, 2011. "Identifying shocks in regionally integrated East Asian economies with structural VAR and block exogeneity," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 81(7), pages 1353-1364.
  5. Cyriac Guillaumin, 2008. "(A)symetrie et convergence des chocs macroeconomiques en Asie de l'Est : une analyse dynamique," Economie Internationale, CEPII research center, CEPII research center, issue 114, pages 29-68.
  6. Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market," American Economic Review, American Economic Association, American Economic Association, vol. 99(3), pages 1053-69, June.
  7. Ben S. Bernanke & Mark Gertler, 1995. "Inside the Black Box: The Credit Channel of Monetary Policy Transmission," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 9(4), pages 27-48, Fall.
  8. Petri, Peter A., 2006. "Is East Asia becoming more interdependent?," Journal of Asian Economics, Elsevier, Elsevier, vol. 17(3), pages 381-394, June.
  9. Bartosz Mackowiak, 2006. "External Shocks, U.S. Monetary Policy and Macroeconomic Fluctuations in Emerging Markets," SFB 649 Discussion Papers SFB649DP2006-026, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  10. Cushman, David O. & Zha, Tao, 1997. "Identifying monetary policy in a small open economy under flexible exchange rates," Journal of Monetary Economics, Elsevier, Elsevier, vol. 39(3), pages 433-448, August.
  11. Corsetti, Giancarlo & Pesenti, Paolo & Roubini, Nouriel, 1999. "Paper tigers?: A model of the Asian crisis," European Economic Review, Elsevier, Elsevier, vol. 43(7), pages 1211-1236, June.
  12. Fabio Canova, 2003. "The transmission of US shocks to Latin America," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra 925, Department of Economics and Business, Universitat Pompeu Fabra, revised Jun 2004.
  13. Reinhart, Carmen & Rogoff, Kenneth, 2004. "The modern history of exchange rate arrangements: A reinterpretation," MPRA Paper 14070, University Library of Munich, Germany.
  14. Weiqi Tang & Libo Wu & ZhongXiang Zhang, 2009. "Oil Price Shocks and Their Short- and Long-Term Effects on the Chinese Economy," Economics Study Area Working Papers, East-West Center, Economics Study Area 102, East-West Center, Economics Study Area.
  15. Du, Limin & Yanan, He & Wei, Chu, 2010. "The relationship between oil price shocks and China's macro-economy: An empirical analysis," Energy Policy, Elsevier, Elsevier, vol. 38(8), pages 4142-4151, August.
  16. Olivier Jean Blanchard & Danny Quah, 1988. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," NBER Working Papers 2737, National Bureau of Economic Research, Inc.
  17. Aizenman, Joshua & Pasricha, Gurnain, 2009. "Selective Swap Arrangements and the Global Financial Crisis: Analysis and Interpretation," Santa Cruz Department of Economics, Working Paper Series qt2vw7s14s, Department of Economics, UC Santa Cruz.
  18. Moneta, Fabio & Rüffer, Rasmus, 2009. "Business cycle synchronisation in East Asia," Journal of Asian Economics, Elsevier, Elsevier, vol. 20(1), pages 1-12, January.
  19. Graciela L. Kaminsky & Carmen Reinhart & Carlos A. Vegh, 2003. "The Unholy Trinity of Financial Contagion," NBER Working Papers 10061, National Bureau of Economic Research, Inc.
  20. Fratzscher, Marcel & Mehl, Arnaud, 2011. "China’s Dominance Hypothesis and the Emergence of a Tri-polar Global Currency System," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8671, C.E.P.R. Discussion Papers.
  21. Clemente, Jesus & Montanes, Antonio & Reyes, Marcelo, 1998. "Testing for a unit root in variables with a double change in the mean," Economics Letters, Elsevier, Elsevier, vol. 59(2), pages 175-182, May.
  22. Buckle, Robert A. & Kim, Kunhong & Kirkham, Heather & McLellan, Nathan & Sharma, Jarad, 2007. "A structural VAR business cycle model for a volatile small open economy," Economic Modelling, Elsevier, Elsevier, vol. 24(6), pages 990-1017, November.
  23. Celine Gimet, 2011. "The Vulnerability of ASEAN+3 Countries to International Financial Crises," Review of International Economics, Wiley Blackwell, vol. 19(5), pages 894-908, November.
  24. Chow, Hwee Kwan & Kim, Yoonbai, 2003. "A common currency peg in East Asia? Perspectives from Western Europe," Journal of Macroeconomics, Elsevier, Elsevier, vol. 25(3), pages 331-350, September.
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. Marien Coupaud, 2013. "Contagion des crises de 1997 et 2008 en ASEAN+3 : un modèle VAR structurel," Larefi Working Papers, Larefi, Université Bordeaux 4 1306, Larefi, Université Bordeaux 4.
  3. 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, Faculty of Economics, Chiang Mai University, vol. 2(3), pages 41 - 54, September.

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:halshs-00697310. 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.