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

Author

Listed:
  • Jean-Pierre Allegret

    () (EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

  • Cécile Couharde

    (EconomiX - UPN - Université Paris Nanterre - 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)

Abstract

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 1990Q1-2012Q2, a structural VAR model with block exogeneity (SVARX model) relying on a comprehensive set of external shocks. We document a rising impact of these external shocks on domestic variables since the mid 1990s. We also show that 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 financial shocks.

Suggested Citation

  • Jean-Pierre Allegret & Cécile Couharde & Cyriac Guillaumin, 2012. "The impact of external shocks in East Asia : lessons from a structural VAR model with block exogeneity," Post-Print halshs-00785873, HAL.
  • Handle: RePEc:hal:journl:halshs-00785873
    Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00785873
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    Cited by:

    1. Boubakri, Salem & Guillaumin, Cyriac, 2015. "Regional integration of the East Asian stock markets: An empirical assessment," Journal of International Money and Finance, Elsevier, vol. 57(C), pages 136-160.
    2. BESSO, CHRISTOPHE RAOUL & chameni, celestin, 2016. "Analyse De La Vulnerabilite Macroeconomique De La Zone Franc
      [Analysis Of The Macroeconomic Vulnerability Of The Franc Zone]
      ," MPRA Paper 75143, University Library of Munich, Germany.
    3. Vu, Tuan Khai & Nakata, Hayato, 2014. "The Macroeconomic Effects of Oil Price Fluctuations in ASEAN Countries: Analysis Using a VAR with Block Exogeneity," Discussion Paper Series 619, Institute of Economic Research, Hitotsubashi University.
    4. Suliman Zakaria S. Abdalla, 2014. "The Impact of Oil Price Fluctuations on the Sudanese Stock Market Performance," Working Papers 887, Economic Research Forum, revised Dec 2014.
    5. John Baffes & M. Ayhan Kose & Franziska Ohnsorge & Marc Stocker, 2015. "The Great Plunge in Oil Prices: Causes, Consequences, and Policy Responses," Koç University-TUSIAD Economic Research Forum Working Papers 1504, Koc University-TUSIAD Economic Research Forum.
    6. Soumia Zenasni, 2015. "Recent Trends in Regional Financial Integration and Trade Liberalization in Maghreb Countries: A Multivariate Threshold Autoregressive Analysis," FIW Working Paper series 145, FIW.
    7. Necibi, Thameur & Issaoui, Fakhri, 2013. "The impact of oil prices on economic activity in administrated price structure: the case of Tunisia," MPRA Paper 50420, University Library of Munich, Germany.
    8. Marien Coupaud, 2013. "Contagion des crises de 1997 et 2008 en ASEAN+3 : un modèle VAR structurel," Larefi Working Papers 1306, Larefi, Université Bordeaux 4.
    9. Jawadi, Fredj & Mallick, Sushanta K. & Sousa, Ricardo M., 2016. "Fiscal and monetary policies in the BRICS: A panel VAR approach," Economic Modelling, Elsevier, vol. 58(C), pages 535-542.
    10. Marine Coupaud, 2013. "Contagion Des Crises De 1997 Et 2008 En Asean+3: Un Modele Var Structurel," Working Papers hal-00913175, HAL.
    11. Giscard Assoumou Ella, 2013. "Impact of international income, prices and monetary shocks on real exchange rate in eight African economies: An empirical study," The Empirical Econometrics and Quantitative Economics Letters, Faculty of Economics, Chiang Mai University, vol. 2(3), pages 41-54, September.
    12. Marine COUPAUD, 2014. "Contagion Des Crises De 1997 Et 2008 En Asean+3 : Un Modèle Var Structurel," Region et Developpement, Region et Developpement, LEAD, Universite du Sud - Toulon Var, vol. 40, pages 113-138.
    13. repec:eee:asieco:v:54:y:2018:i:c:p:1-21 is not listed on IDEAS

    More about this item

    Keywords

    Asie de l'Est; modèle VAR; choc externe; External Shocks; East Asia; SVARX Model;

    JEL classification:

    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission

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