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Regime-dependent synchronization of growth cycles between Japan and East Asia

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  • Eric Girardin

    (Universite de la Mediterranee Aix-Marseille II)

Abstract

Some studies indicate that correlations between GDP growth in Japan and in emerging East Asian countries are consistently positive; others claim that such correlations are consistently negative. In this analysis of 10 East Asian countries over 1975-2002 using quarterly GDP data, a Markov-switching vector autoregressive system with three growth cycle regimes is used to examine to what extent such correlations are sensitive to third-country effects, transmission mechanisms, and the quality of Japanese output data. After controlling for third-country effects, correlations with Japan are found to be almost uniformly negative. When transmission variables are taken into account, however, positive correlations appear during rapid-growth regimes for China, Malaysia, Singapore, Taiwan, and South Korea. When higher-quality Japanese output data are used, shocks in these countries are symmetric with Japan's disturbances in growth-recession and rapid-growth regimes. However, synchronization with Japan is never present in the normal-growth regime. Because these five countries are not fully synchronized with Japan, it is probably premature for them to engage in exchange rate arrangements involving the yen. Copyright (c) 2005 Center for International Development and the Massachusetts Institute of Technology.
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  • Eric Girardin, 2004. "Regime-dependent synchronization of growth cycles between Japan and East Asia," Money Macro and Finance (MMF) Research Group Conference 2004 66, Money Macro and Finance Research Group.
  • Handle: RePEc:mmf:mmfc04:66
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    Citations

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    Cited by:

    1. Hyoung-kyu Chey, 2009. "A Political Economic Critique on the Theory of Optimum Currency Areas, and the Implications for East Asia," The World Economy, Wiley Blackwell, vol. 32(12), pages 1685-1705, December.
    2. Bouchouicha, Ranoua & Ftiti, Zied, 2012. "Real estate markets and the macroeconomy: A dynamic coherence framework," Economic Modelling, Elsevier, vol. 29(5), pages 1820-1829.
    3. Allegret, Jean-Pierre & Essaadi, Essahbi, 2011. "Business cycles synchronization in East Asian economy: Evidences from time-varying coherence study," Economic Modelling, Elsevier, vol. 28(1-2), pages 351-365, January.
    4. Dufrénot, Gilles & Keddad, Benjamin, 2014. "Business cycles synchronization in East Asia: A Markov-switching approach," Economic Modelling, Elsevier, vol. 42(C), pages 186-197.
    5. Maswana, Jean-Claude, 2010. "Will China’s Recovery Affect Africa’s Prospects for Economic Growth?," Working Papers 19, JICA Research Institute.
    6. Aloui, Chaker & Hkiri, Besma & Nguyen, Duc Khuong, 2016. "Real growth co-movements and business cycle synchronization in the GCC countries: Evidence from time-frequency analysis," Economic Modelling, Elsevier, vol. 52(PB), pages 322-331.
    7. de Truchis, Gilles & Keddad, Benjamin, 2013. "Southeast Asian monetary integration: New evidences from fractional cointegration of real exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 394-412.
    8. Hirata, Hideaki & Otsu, Keisuke, 2016. "Accounting for the economic relationship between Japan and the Asian Tigers," Journal of the Japanese and International Economies, Elsevier, vol. 41(C), pages 57-68.
    9. Creti, Anna & Ftiti, Zied & Guesmi, Khaled, 2014. "Oil price and financial markets: Multivariate dynamic frequency analysis," Energy Policy, Elsevier, vol. 73(C), pages 245-258.
    10. Eric Girardin, 2005. "Growth-cycle features of East Asian countries: are they similar?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(2), pages 143-156.
    11. repec:ipg:wpaper:2014-568 is not listed on IDEAS
    12. Watanabe, Shingo & Ogura, Masanobu, 2010. "How far apart are the two ACUs from each other? Asian currency unit and Asian currency union," Emerging Markets Review, Elsevier, vol. 11(2), pages 152-172, June.
    13. James Laurenceson & Corrine Dobson, "undated". "China’s business cycles since 1979: a chronology and comparative analysis," EAERG Discussion Paper Series 1705, School of Economics, University of Queensland, Australia.

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