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(A)symétrie et convergence des chocs macroéconomiques en Asie de l'Est: une analyse dynamique

  • Cyriac Guillaumin

    ()

    (CEPN - Centre d'économie de l'Université de Paris Nord - CNRS : UMR7115 - Université Paris-Nord - Paris XIII)

L'objectif de ce papier est d'identifier le degré d'(a)symétrie des chocs macroéconomiques et d'examiner leur évolution au fil du temps pour les pays de l'Asean+3 afin de mieux comprendre les choix en terme de régime de change. Notre analyse s'effectue en deux temps. Dans un premier temps, nous utilisons un processus VAR structurel (SVAR) pour décomposer, selon la méthodologie de Blanchard et Quah (1989), les chocs macroéconomiques puis déterminer leur degré de corrélation. Toutefois, les coefficients de corrélation ne permettent pas de juger l'évolution de l'(a)symétrie des chocs. Ainsi, le calcul des coefficients de corrélation inconditionnelle entre les chocs subit un défaut d'invariance structurelle adressant une critique de Lucas (1976) à la plupart des travaux en termes de symétrie des chocs au sujet de la dynamique des zones monétaires optimales. Pour tenter de corriger ce problème, nous élargissons l'analyse des chocs d'offre et de demande en mesurant une corrélation dans le temps comme le propose Boone (1997) permettant ainsi d'observer l'évolution de la convergence des structures entre économies de l'Asean+3. Pour cela, nous utilisons une méthodologie dynamique basée sur le filtre de Kalman. Les résultats montrent qu'il n'y a pas de convergence globale au niveau de la zone. Cependant, une analyse plus spécifique montre qu'il existe une convergence relative des chocs de demande entre certains pays. Nos résultats font également apparaître que la crise financière de 1997 n'a pas eu les mêmes effets sur les pays de l'Asean+3 et qu'il y a une avant et un après crise.

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Paper provided by HAL in its series Post-Print with number hal-00192626.

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Date of creation: 22 Nov 2007
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Publication status: Published - Presented, 6ème Journée d'Econométrie, 2007, Nanterre, France
Handle: RePEc:hal:journl:hal-00192626
Note: View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00192626/en/
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