IDEAS home Printed from https://ideas.repec.org/a/eee/ecofin/v27y2014icp88-103.html
   My bibliography  Save this article

Transmission of US financial and trade shocks to Asian economies: Implications for spillover of the 2007–2009 US financial crisis

Author

Listed:
  • Yamamoto, Shugo

Abstract

This paper describes an investigation of the transmission of US shocks to Asian economies with consideration of financial linkages and trade linkages. Using the sign restriction vector autoregression (VAR) approach during 2000–2012, our empirical results can be summarized as follows. First, both US financial and trade linkages exert a significant impact on production in Asian economies. Second, through both financial and trade linkages, US spillover shocks account for around 50% of the production fluctuation in Asian economies. Third, during the episodes of 2007–2009 US financial crisis, the impact of financial shocks is greater than that of trade shocks. Results suggest that (i) Asian economies are not decoupled with US; and (ii) different from conventional findings, financial linkages between US and Asian economies are strong, especially for highly developed Asian economies. Therefore, investors and policymakers of Asian economies should take account of US financial conditions.

Suggested Citation

  • Yamamoto, Shugo, 2014. "Transmission of US financial and trade shocks to Asian economies: Implications for spillover of the 2007–2009 US financial crisis," The North American Journal of Economics and Finance, Elsevier, vol. 27(C), pages 88-103.
  • Handle: RePEc:eee:ecofin:v:27:y:2014:i:c:p:88-103
    DOI: 10.1016/j.najef.2013.12.002
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1062940813001137
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Soyoung Kim & Jong‐Wha Lee, 2012. "Real and Financial Integration in East Asia," Review of International Economics, Wiley Blackwell, vol. 20(2), pages 332-349, May.
    2. Ippei Fujiwara & Koji Takahashi, 2012. "Asian Financial Linkage: Macro‐Finance Dissonance," Pacific Economic Review, Wiley Blackwell, vol. 17(1), pages 136-159, February.
    3. Uhlig, Harald, 2005. "What are the effects of monetary policy on output? Results from an agnostic identification procedure," Journal of Monetary Economics, Elsevier, vol. 52(2), pages 381-419, March.
    4. Tillmann, Peter, 2013. "Capital inflows and asset prices: Evidence from emerging Asia," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 717-729.
    5. Soyoung Kim & Jong‐Wha Lee & Cyn‐Young Park, 2011. "Emerging Asia: Decoupling or Recoupling," The World Economy, Wiley Blackwell, vol. 34(1), pages 23-53, January.
    6. Andrei A. Levchenko & Logan Lewis & Linda L. Tesar, 2009. "The Collapse of International Trade During the 2008-2009 Crisis: In Search of the Smoking Gun," Working Papers 592, Research Seminar in International Economics, University of Michigan.
    7. Matthew Yiu & Wai-Yip Alex Ho & Daniel Choi, 2010. "Dynamic correlation analysis of financial contagion in Asian markets in global financial turmoil," Applied Financial Economics, Taylor & Francis Journals, vol. 20(4), pages 345-354.
    8. Chiang, Thomas C. & Jeon, Bang Nam & Li, Huimin, 2007. "Dynamic correlation analysis of financial contagion: Evidence from Asian markets," Journal of International Money and Finance, Elsevier, vol. 26(7), pages 1206-1228, November.
    9. Andrew Mountford & Harald Uhlig, 2009. "What are the effects of fiscal policy shocks?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(6), pages 960-992.
    10. Fratzscher, Marcel & Juvenal, Luciana & Sarno, Lucio, 2010. "Asset prices, exchange rates and the current account," European Economic Review, Elsevier, vol. 54(5), pages 643-658, July.
    11. Dimitriou, Dimitrios & Kenourgios, Dimitris, 2013. "Financial crises and dynamic linkages among international currencies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 319-332.
    12. Angela Abbate & Sandra Eickmeier & Wolfgang Lemke & Massimiliano Marcellino, 2016. "The Changing International Transmission of Financial Shocks: Evidence from a Classical Time‐Varying FAVAR," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(4), pages 573-601, June.
    13. Fabio Canova, 2005. "The transmission of US shocks to Latin America," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 229-251.
    14. J. S. Eades, 2012. "East Asia," Chapters,in: A Handbook of Economic Anthropology, Second Edition, chapter 32 Edward Elgar Publishing.
    15. Bracke, Thierry & Fidora, Michael, 2012. "The macro-financial factors behind the crisis: Global liquidity glut or global savings glut?," The North American Journal of Economics and Finance, Elsevier, vol. 23(2), pages 185-202.
    16. Samarakoon, Lalith P., 2011. "Stock market interdependence, contagion, and the U.S. financial crisis: The case of emerging and frontier markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(5), pages 724-742.
    17. Cédric Tille, 2012. "Sailing Through This Storm? Capital Flows In Asia During The Crisis," Pacific Economic Review, Wiley Blackwell, vol. 17(3), pages 467-488, August.
    18. Tilak Abeysinghe & Kristin Forbes, 2005. "Trade Linkages and Output‐Multiplier Effects: a Structural VAR Approach with a Focus on Asia," Review of International Economics, Wiley Blackwell, vol. 13(2), pages 356-375, May.
    19. Dimitriou, Dimitrios & Kenourgios, Dimitris & Simos, Theodore, 2013. "Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH–DCC approach," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 46-56.
    20. Kenourgios, Dimitris & Padhi, Puja, 2012. "Emerging markets and financial crises: Regional, global or isolated shocks?," Journal of Multinational Financial Management, Elsevier, vol. 22(1), pages 24-38.
    21. Shin-ichi Fukuda, 2009. "Financial Architecture in East Asia," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, vol. 5(1), pages 25-44, October.
    22. Kristin J. Forbes & Roberto Rigobon, 2002. "No Contagion, Only Interdependence: Measuring Stock Market Comovements," Journal of Finance, American Finance Association, vol. 57(5), pages 2223-2261, October.
    23. Rudolfs Bems & Robert C Johnson & Kei-Mu Yi, 2010. "Demand Spillovers and the Collapse of Trade in the Global Recession," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 58(2), pages 295-326, December.
    24. 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.
    25. Peltonen, Tuomas A. & Pula, Gabor, 2009. "Has emerging Asia decoupled? An analysis of production and trade linkages using the Asian international input-output table," Working Paper Series 993, European Central Bank.
    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


    Cited by:

    1. Belke, Ansgar & Rees, Andreas, 2014. "Globalisation and monetary policy—A FAVAR analysis for the G7 and the eurozone," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 306-321.
    2. Boubaker, Sabri & Jouini, Jamel, 2014. "Linkages between emerging and developed equity markets: Empirical evidence in the PMG framework," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 322-335.
    3. Majdoub, Jihed & Mansour, Walid & Jouini, Jamel, 2016. "Market integration between conventional and Islamic stock prices," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 436-457.
    4. repec:eee:jpolmo:v:40:y:2018:i:6:p:1140-1164 is not listed on IDEAS
    5. repec:eco:journ1:2017-02-72 is not listed on IDEAS
    6. Herrera, Rodrigo & Schipp, Bernhard, 2014. "Statistics of extreme events in risk management: The impact of the subprime and global financial crisis on the German stock market," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 218-238.
    7. Liao Qunfeng & Mehdian Seyed & Stephens John, 2016. "The Impact of the 2008 Global Financial Crisis on the Structure of the Transmission of Price Innovations Across Financial Markets: The Case of Southwest Asian Equity Markets," Scientific Annals of Economics and Business, Sciendo, vol. 63(2), pages 195-208, June.
    8. Fatemeh Razmi & Azali Mohamed & Lee Chin & Muzafar Shah Habibullah, 2017. "How Does Monetary Policy Affect Economic Vulnerability to Oil Price Shock as against US Economy Shock?," International Journal of Economics and Financial Issues, Econjournals, vol. 7(2), pages 544-550.
    9. repec:eee:finana:v:62:y:2019:i:c:p:157-163 is not listed on IDEAS
    10. Brzeszczyński, Janusz & Gajdka, Jerzy & Kutan, Ali M., 2015. "Investor response to public news, sentiment and institutional trading in emerging markets: A review," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 338-352.
    11. Tomoe Moore & Ali Mirzaei, 2016. "The Impact of the Global Financial Crisis on Industry Growth," Manchester School, University of Manchester, vol. 84(2), pages 159-180, March.
    12. repec:eee:energy:v:159:y:2018:i:c:p:457-471 is not listed on IDEAS
    13. Liow, Kim Hiang, 2015. "Volatility spillover dynamics and relationship across G7 financial markets," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 328-365.
    14. Jouini, Jamel, 2015. "New empirical evidence from assessing financial market integration, with application to Saudi Arabia," Economic Modelling, Elsevier, vol. 49(C), pages 198-211.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecofin:v:27:y:2014:i:c:p:88-103. 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: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/inca/620163 .

    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 CitEc recognized a reference but did not link an item in RePEc 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.