Reliability of Structural Shocks Estimates from a Bivariate SVAR Model - The Case of Southeast Asian Countries

Arief Ramayandi

Macroeconomics Working Papers from East Asian Bureau of Economic Research

Abstract: In order to assess the symmetry in the nature of structural shocks for a bloc of countries to form a currency union, long-run identifying restrictions to simple bivariate models are often used. This study attempts to assess the reliability of the estimated structural shocks produced from applications of these kinds of models by looking at their consistency in representing the designated shocks. The case examined covers some countries in the Southeast Asian bloc. The finding suggests that the commingling shocks problems exist. Exercise using larger models and higher frequency data is then advisable.

Keywords: Structural Shocks Estimates; Bivariate SVAR Model; South East Asia (search for similar items in EconPapers)
JEL-codes: C32 E32 (search for similar items in EconPapers)
Date: 2006-01
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Citations: View citations in EconPapers (4)

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Working Paper: Reliability of Structural Shocks Estimates from a Bivariate SVAR Model: The Case of Southeast Asian Countries (2006)
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