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Chocs externes et perspective d'union monétaire en Asie de l'Est : les enseignements d'un modèle VAR structurel

  • Cécile Couharde

    (EconomiX - CNRS : UMR7166 - Université de Paris X - Nanterre)

  • Cyriac Guillaumin

    ()

    (CREG - Centre de recherche en économie de Grenoble - Université Pierre Mendès-France - Grenoble II : EA4625)

Avec la crise financière des subprimes, les pays d'Asie de l'Est ont renforcé leur coopération financière en signant un accord officialisant l'étape de multilatéralisation de l'initiative de Chiang Mai annoncée au début de 2009. Cette signature, qui témoigne de l'accélération de l'intégration à la fois commerciale et financière en Asie, relance également le débat sur l'éventuelle création d'une zone monétaire dans la région. L'objectif de ce papier est d'analyser une telle possibilité en examinant le degré de corrélation des chocs macroéconomiques pour les pays concernés. Notre analyse se base sur un modèle VAR structurel composé de quatre chocs qui intègre, outre un choc d'offre, un choc de demande et un choc monétaire, un choc externe. La crise financière actuelle a, en effet, montré de nouveau l'importance des chocs externes auxquels sont soumises les économies d'Asie de l'Est. C'est pourquoi, nous portons une attention plus particulière à l'impact exercé par ces chocs en distinguant les différentes formes qu'ils peuvent prendre (choc financier, choc réel et choc monétaire) et en étudiant les réactions des pays de la région à ces différents chocs. Nos résultats montrent que les chocs externes, comme les chocs monétaires, sont très corrélés entre les pays d'Asie de l'Est. La corrélation des chocs de demande est moins prononcée alors que les chocs d'offre apparaissent, quant à eux, beaucoup moins corrélés. Les réponses aux trois chocs externes et les corrélations entre les pays asiatiques révèlent, en outre, l'existence d'un grand nombre de liens entre ces pays même s'ils peuvent apparaître négatifs. Ces résultats plaident plutôt en faveur de la poursuite d'une coopération monétaire accrue qui permettrait, entre autres, d'apporter une réponse commune aux chocs externes.

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Date of creation: 2011
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Handle: RePEc:hal:journl:halshs-00632373
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