The Nature of Aggregate Demand and Supply Shocks in ASEAN Countries
This paper revisits the issue of identification of macroeconomic shocks in ASEAN countries using an alternative identification scheme where the aggregate demand and supply shocks are allowed to be correlated. Applying the technique of Cover et al (2006) within a bivariate Structural VAR model, this paper showed that aggregate demand and supply shocks are interrelated (positively) in ASEAN countries. Unlike previous studies, it is found that changes in the output level are mainly driven by aggregate demand shocks, whereas supply shocks are playing the dominant role in affecting inflation in ASEAN countries. The correlations of the shocks across the countries are found to be quite small, suggesting that ASEAN is still not ready to form a common currency union like Europe.
|Date of creation:||22 Dec 2009|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://mpra.ub.uni-muenchen.de
More information through EDIRC
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.:
- 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.
- Tilak Abeysinghe & Gulasekaran Rajaguru, 2003.
"Quarterly Real GDP Estimates for China and ASEAN4 with a Forecast Evaluation,"
Departmental Working Papers
wp0404, National University of Singapore, Department of Economics.
- Gulasekaran Rajaguru & Tilak Abeysinghe, 2004. "Quarterly real GDP estimates for China and ASEAN4 with a forecast evaluation," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(6), pages 431-447.
- Olivier J. Blanchard, 1987.
"Why Does Money Affect Output? A Survey,"
453, Massachusetts Institute of Technology (MIT), Department of Economics.
- Mankiw, N. Gregory, 1987.
"The optimal collection of seigniorage : Theory and evidence,"
Journal of Monetary Economics,
Elsevier, vol. 20(2), pages 327-341, September.
- N. Gregory Mankiw, 1987. "The Optimal Collection of Seigniorage: Theory and Evidence," NBER Working Papers 2270, National Bureau of Economic Research, Inc.
- Lucas, Robert E, Jr, 1973. "Some International Evidence on Output-Inflation Tradeoffs," American Economic Review, American Economic Association, vol. 63(3), pages 326-34, June.
- Laurence Ball, 1999. "Aggregate demand and Long-Run Unemployment," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 30(2), pages 189-252.
- Stadler, George W, 1990. "Business Cycle Models with Endogenous Technology," American Economic Review, American Economic Association, vol. 80(4), pages 763-78, September.
- 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.
- Lucas, Robert Jr., 1972. "Expectations and the neutrality of money," Journal of Economic Theory, Elsevier, vol. 4(2), pages 103-124, April.
- Cover, James Peery & Enders, Walter & Hueng, C. James, 2006. "Using the Aggregate Demand-Aggregate Supply Model to Identify Structural Demand-Side and Supply-Side Shocks: Results Using a Bivariate VAR," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(3), pages 777-790, April.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:19881. 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: (Ekkehart Schlicht)
If references are entirely missing, you can add them using this form.