IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

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.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://halshs.archives-ouvertes.fr/docs/00/63/23/73/PDF/pub11015-Cahier_de_recherche_du_Creg-2011-01.pdf
Download Restriction: no

Paper provided by HAL in its series Post-Print with number halshs-00632373.

as
in new window

Length:
Date of creation: 2011
Date of revision:
Handle: RePEc:hal:journl:halshs-00632373
Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00632373/en/
Contact details of provider: Web page: http://hal.archives-ouvertes.fr/

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as in new window
  1. David O. Cushman & Tao Zha, 1995. "Identifying monetary policy in a small open economy under flexible exchange rates," Working Paper 95-7, Federal Reserve Bank of Atlanta.
  2. Jordi Galí & Richard Clarida, 1993. "Sources of real exchage rate fluctuations: How important are nominal shocks?," Economics Working Papers 66, Department of Economics and Business, Universitat Pompeu Fabra, revised Jan 1994.
  3. Frankel, Jeffrey A & Rose, Andrew K, 1998. "The Endogeneity of the Optimum Currency Area Criteria," Economic Journal, Royal Economic Society, vol. 108(449), pages 1009-25, July.
  4. Hélène Erkel-Rousse, 1997. "Degré de flexibilité des marchés du travail, ajustement à des chocs asymétriques et union monétaire européenne," Économie et Prévision, Programme National Persée, vol. 128(2), pages 79-100.
  5. Graciela L. Kaminsky & Carmen Reinhart & Carlos A. Vegh, 2003. "The Unholy Trinity of Financial Contagion," NBER Working Papers 10061, National Bureau of Economic Research, Inc.
  6. Christopher A. Sims & Tao Zha, 1995. "Error bands for impulse responses," Working Paper 95-6, Federal Reserve Bank of Atlanta.
  7. Phylaktis, Kate, 1999. "Capital market integration in the Pacific Basin region: an impulse response analysis," Journal of International Money and Finance, Elsevier, vol. 18(2), pages 267-287, February.
  8. Carmen M. Reinhart & Kenneth S. Rogoff, 2004. "The Modern History of Exchange Rate Arrangements: A Reinterpretation," The Quarterly Journal of Economics, MIT Press, vol. 119(1), pages 1-48, February.
  9. Chang, Roberto & Velasco, Andres, 2000. "Banks, debt maturity and financial crises," Journal of International Economics, Elsevier, vol. 51(1), pages 169-194, June.
  10. Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-08, May.
  11. Carlos C. Bautista & Samuel Maveyraud-Tricoire, 2007. "Saving-Investment Relationship, Financial Crisis and Structural Changes in East Asian Countries," Economie Internationale, CEPII research center, issue 111, pages 81-99.
  12. Ilan Goldfajn & Rodrigo Valdés, 1997. "The Aftermath of Appreciations," Working Papers Central Bank of Chile 02, Central Bank of Chile.
  13. Corsetti, Giancarlo & Pesenti, Paolo & Roubini, Nouriel, 1999. "Paper tigers?: A model of the Asian crisis," European Economic Review, Elsevier, vol. 43(7), pages 1211-1236, June.
  14. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
  15. Kim, David, 2007. "An East Asian currency union?: The empirical nature of macroeconomic shocks in East Asia," Journal of Asian Economics, Elsevier, vol. 18(6), pages 847-866, December.
  16. Coudert, Virginie & Couharde, Cécile & Mignon, Valérie, 2011. "Exchange rate volatility across financial crises," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 3010-3018, November.
  17. Reinhart, Carmen & Calvo, Guillermo & Leiderman, Leonardo, 1994. "The capital inflows problem: Concepts and issues," MPRA Paper 13902, University Library of Munich, Germany.
  18. Eijffinger, S.C.W. & de Haan, J., 2000. "European Monetary and Fiscal Policy," Other publications TiSEM a056022b-c6b1-4c89-bcd5-3, Tilburg University, School of Economics and Management.
  19. Bayoumi, Tamim & Eichengreen, Barry & Mauro, Paolo, 2000. "On Regional Monetary Arrangements for ASEAN," Journal of the Japanese and International Economies, Elsevier, vol. 14(2), pages 121-148, June.
  20. Huang, Ying & Guo, Feng, 2006. "Is currency union a feasible option in East Asia?: A multivariate structural VAR approach," Research in International Business and Finance, Elsevier, vol. 20(1), pages 77-94, March.
  21. Guillaumin, Cyriac, 2009. "Financial integration in East Asia: Evidence from panel unit root and panel cointegration tests," Journal of Asian Economics, Elsevier, vol. 20(3), pages 314-326, May.
  22. Thiam Hee NG, 2002. "Should The Southeast Asian Countries Form A Currency Union?," The Developing Economies, Institute of Developing Economies, vol. 40(2), pages 113-134, 06.
  23. repec:cup:cbooks:9780521121101 is not listed on IDEAS
  24. Michael D. Bordo & Antu Panini Murshid, 2002. "Globalization and Changing Patterns in the International Transmission of Shocks in Financial Markets," NBER Working Papers 9019, National Bureau of Economic Research, Inc.
  25. Ronald McKinnon, 2002. "Optimum currency areas and the European experience," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 10(2), pages 343-364, July.
  26. Eric Zivot & Donald W.K. Andrews, 1990. "Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Cowles Foundation Discussion Papers 944, Cowles Foundation for Research in Economics, Yale University.
  27. Cyriac Guillaumin, 2007. "(A)symétrie et convergence des chocs macroéconomiques en Asie de l'Est: une analyse dynamique," Post-Print hal-00192626, HAL.
  28. Stanley Fischer, 2001. "Exchange Rate Regimes: Is the Bipolar View Correct?," Journal of Economic Perspectives, American Economic Association, vol. 15(2), pages 3-24, Spring.
  29. Kate Phylaktis, 1995. "Capital Market Integration in the Pacific Basin Region; An Analysis of Real Interest Rate Linkages," IMF Working Papers 95/133, International Monetary Fund.
  30. Chow, Hwee Kwan & Kim, Yoonbai, 2003. "A common currency peg in East Asia? Perspectives from Western Europe," Journal of Macroeconomics, Elsevier, vol. 25(3), pages 331-350, September.
  31. Frankel, Jeffrey A. & Rose, Andrew K., 1997. "Is EMU more justifiable ex post than ex ante?," European Economic Review, Elsevier, vol. 41(3-5), pages 753-760, April.
  32. Atsushi Takeuchi, 2006. "Identifying impediments to cross-border bond investment and issuance in Asian countries," BIS Papers chapters, in: Bank for International Settlements (ed.), Asian bond markets: issues and prospects, volume 30, pages 246-260 Bank for International Settlements.
  33. Reza Siregar & Ramkishen Rajan & Tony Cavoli, 2004. "A Survey of Financial Integration in East Asia; How Far? How Much Further to Go?," Centre for International Economic Studies Working Papers 2004-01, University of Adelaide, Centre for International Economic Studies.
  34. Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 19-46, January.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:hal:journl:halshs-00632373. 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: (CCSD)

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 references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link 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 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.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.