Asian monetary integration: a structural VAR approach
Zhaoyong Zhang,
Kiyotaka Sato and
Michael McAleer
Mathematics and Computers in Simulation (MATCOM), 2004, vol. 64, issue 3, 447-458
Abstract:
This paper examines whether forming an optimum currency area (OCA) is viable for the East Asian region by testing the symmetry of underlying structural shocks. A structural vector autoregression (VAR) method is used to identify the underlying shocks and to examine the correlation in shocks for specified sample periods. Decomposition of the variance of shocks and impulse response analysis are used to examine the size and the speed of adjustments to shocks. The results imply that some sub-regions are potential candidates for forming OCAs, as their shocks are correlated and small, and the economies adjust rapidly to such shocks.
Keywords: Optimum currency area; Vector autoregressions; Exchange rate; East Asian region (search for similar items in EconPapers)
Date: 2004
References: Add references at CitEc
Citations: View citations in EconPapers (15)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378475403001101
Full text for ScienceDirect subscribers only
Related works:
Working Paper: Asian Monetary Integration: A Structural VAR Approach (2003) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:64:y:2004:i:3:p:447-458
DOI: 10.1016/S0378-4754(03)00110-1
Access Statistics for this article
Mathematics and Computers in Simulation (MATCOM) is currently edited by Robert Beauwens
More articles in Mathematics and Computers in Simulation (MATCOM) from Elsevier
Bibliographic data for series maintained by Catherine Liu (repec@elsevier.com).