Asian Monetary Integration: A Structural VAR Approach
Abstract
This 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.Download Info
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Paper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE F-Series with number CIRJE-F-212.Length: 23 pages
Date of creation: Mar 2003
Date of revision:
Handle: RePEc:tky:fseres:2003cf212
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Keywords:This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-04-02 (All new papers)
- NEP-CBA-2003-04-02 (Central Banking)
- NEP-IFN-2003-04-02 (International Finance)
References
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Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.Cited by:
- Foresti, Pasquale, 2007. "Is Latin America an Optimal Currency Area? Evidence from a Structural Vector Auto-regression analysis," MPRA Paper 2961, University Library of Munich, Germany, revised Apr 2008.
- Arief Ramayandi, 2005.
"ASEAN Monetary Cooperation : Issues and Prospects,"
Finance Working Papers
22028, East Asian Bureau of Economic Research.
- Arief Ramayandi, 2005. "ASEAN Monetary Cooperation: Issues and Prospects," Asia Pacific Economic Papers 349, Australia-Japan Research Centre, Crawford School of Public Policy, The Australian National University.
- Albert Mafusire & Brixiova Zuzana, . "Working Paper 156 - Macroeconomic Shock Synchronization in the East African Community," Working Paper Series 409, African Development Bank.
- Gilles de Truchis & Benjamin Keddad, 2012. "South East Asian Monetary Integration," AMSE Working Papers 1229, Aix-Marseille School of Economics, Marseille, France, revised 05 Nov 2012.
- John Hawkins & Paul Masson, 2003. "Economic aspects of regional currency areas and the use of foreign currencies," BIS Papers chapters, in: Bank for International Settlements (ed.), Regional currency areas and the use of foreign currencies, volume 17, pages 4-42 Bank for International Settlements.
- Albert Mafusire & Zuzana Brixiova, 2012. "Macroeconomic Shock Synchronization in the East African Community," William Davidson Institute Working Papers Series wp1031, William Davidson Institute at the University of Michigan.
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