Macroeconomic, International Linkage and Effects of External Shocks in Southeast Asian Emerging Economies

Mohammad Reza Alizadeh Janvisloo () and Reza Sherafatian-Jahromi ()
Additional contact information
Mohammad Reza Alizadeh Janvisloo : Tejarat Bank
Reza Sherafatian-Jahromi : Universiti Putra Malaysia

Journal of Money and Economy, 2019, vol. 14, issue 2, 205-230

Abstract: This study is an attempt to examine the effects of external shocks on macroeconomic variables in selective small open emerging economies in Southeast Asia. A quarterly Global Vector Autoregressive (GVAR) model, including 33 countries, was used throughout 1979–2013. The empirical results showed that the target countries were affected by external shocks, especially the shocks in the U.S, Euro area, China, South Korea, Singapore, and oil price, due to a high dependency on exports and a high degree of globalization in financial markets. The difference in the economic structure of these countries has led to different reactions to shocks. Meanwhile, equity price, exchange rate, and the real output were the most important transmitters of shocks to the interior economy. Furthermore, the shock to the macroeconomic situation in the U.S, the U.K, and South Korea is related to the top ten effective factors on Forecast Error Variance Decomposition (FEVD) of these three variables. Concurrently, the domestic shock in GDP and the exchange rate in each country, except Indonesia, have the highest share in FEVD. According to the results, the effects of the mentioned shocks have to be noticed by macro-prudential analysis studies in the target countries to optimally manage the risks in the various areas of the economy.

Keywords: Global VAR; International Linkage; VECM Models; Impulse Response; Error Variance Decomposition; Emerging Economies (search for similar items in EconPapers)
JEL-codes: E6 F47 R11 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://jme.mbri.ac.ir/article-1-426-en.pdf (application/pdf)
http://jme.mbri.ac.ir/article-1-426-en.html (text/html)

Related works:
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:mbr:jmonec:v:14:y:2019:i:2:p:205-230

Access Statistics for this article

More articles in Journal of Money and Economy from Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran Contact information at EDIRC.
Bibliographic data for series maintained by M. E. ().