Reliability of Structural Shocks Estimates from a Bivariate SVAR Model: The Case of Southeast Asian Countries
In order to assess the symmetry in the nature of structural shocks for a bloc of countries to form a currency union, long-run identifying restrictions to simple bivariate models are often used. This study attempts to assess the reliability of the estimated structural shocks produced from applications of these kinds of models by looking at their consistency in representing the designated shocks. The case examined covers some countries in the Southeast Asian bloc. The finding suggests that the commingling shocks problems exist. Exercise using larger models and higher frequency data is then advisable.
|Date of creation:||2006|
|Contact details of provider:|| Postal: Canberra ACT 2601|
Phone: (61-2) 6249 3780
Fax: (61-2) 6249 3941
Web page: https://crawford.anu.edu.au/research_units/ajrc/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:csg:ajrcau:357. 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: (Akira Kinefuchi)
If references are entirely missing, you can add them using this form.