Asian Monetary Integration: A Structural VAR Approach
AbstractThis 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.
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Bibliographic InfoPaper 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
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Other versions of this item:
- Zhang, Zhaoyong & Sato, Kiyotaka & McAleer, Michael, 2004. "Asian monetary integration: a structural VAR approach," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 64(3), pages 447-458.
- NEP-ALL-2003-04-02 (All new papers)
- NEP-CBA-2003-04-02 (Central Banking)
- NEP-IFN-2003-04-02 (International Finance)
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