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Reliability of Structural Shocks Estimates from a Bivariate SVAR Model - The Case of Southeast Asian Countries

Author

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  • Arief Ramayandi

    (Australia Japan Research Centre)

Abstract

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.

Suggested Citation

  • Arief Ramayandi, 2006. "Reliability of Structural Shocks Estimates from a Bivariate SVAR Model - The Case of Southeast Asian Countries," Macroeconomics Working Papers 22305, East Asian Bureau of Economic Research.
    • Handle: RePEc:eab:macroe:22305
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    Cited by:

    1. Gordon De BROUWER & Arief RAMAYANDI & David TURVEY, 2006. "Macroeconomic Linkages and Regional Monetary Cooperation: Steps Ahead," Asian Economic Policy Review, Japan Center for Economic Research, vol. 1(2), pages 284-301, December.
    2. Fathi Elachhab, 2009. "Décrire le cycle économique en Tunisie," Economie & Prévision, La Documentation Française, vol. 0(3), pages 75-92.
    3. Arief Ramayandi, 2008. "Simple Model for a Small Open Economy: An Application to the ASEAN-5 Countries," Working Papers in Economics and Development Studies (WoPEDS) 200801, Department of Economics, Padjadjaran University, revised May 2008.
    4. Omotor, Douglason G. & Niringiye, Aggrey, 2011. "Optimum Currency Area and Shock Asymmetry: A Dynamic Analysis of the West African Monetary Zone (WAMZ)," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 71-82, September.

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    Keywords

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    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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