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The impact of external shocks in East Asia : lessons from a structural VAR model with block exogeneity

Listed author(s):
  • Jean-Pierre Allegret

    ()

    (EconomiX - UPOND - Université Paris Ouest Nanterre La Défense - CNRS - Centre National de la Recherche Scientifique)

  • Cécile Couharde

    (EconomiX - UPOND - Université Paris Ouest Nanterre La Défense - CNRS - Centre National de la Recherche Scientifique)

  • Cyriac Guillaumin

    ()

    (CREG - Centre de recherche en économie de Grenoble - UGA - Université Grenoble Alpes - UPMF - Université Pierre Mendès France - Grenoble 2)

In this paper, we examine the relative importance of external shocks in domestic fluctuations of East Asian countries and check if these shocks lead to asymmetric or symmetric reactions between the considered economies. To this end, we estimate, over the period 1990.1-2010.4, a structural VAR model with block exogeneity (SVARX model) relying on a comprehensive set of external shocks. We firstly document a risingimpact of these external shocks on domestic variables since the mid 1990s. Finally, real oil price and U.S. GDP shocks have a significant impact on domestic activity and lead to more symmetric responses, compared to U.S. monetary shock and MSCI Index financial shocks.

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Paper provided by HAL in its series Post-Print with number halshs-00697310.

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Date of creation: 2012
Publication status: Published in Document de travail ; 2012-01 Nanterre : EconomiX, Université de Paris Ouest Nanterre La Défense. 2012, pp.38
Handle: RePEc:hal:journl:halshs-00697310
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00697310
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  19. Bartosz Mackowiak, 2006. "External Shocks, U.S. Monetary Policy and Macroeconomic Fluctuations in Emerging Markets," SFB 649 Discussion Papers SFB649DP2006-026, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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