Transmission of US financial and trade shocks to Asian economies: Implications for spillover of the 2007–2009 US financial crisis
Shugo Yamamoto
The North American Journal of Economics and Finance, 2014, vol. 27, issue C, 88-103
Abstract:
This paper describes an investigation of the transmission of US shocks to Asian economies with consideration of financial linkages and trade linkages. Using the sign restriction vector autoregression (VAR) approach during 2000–2012, our empirical results can be summarized as follows. First, both US financial and trade linkages exert a significant impact on production in Asian economies. Second, through both financial and trade linkages, US spillover shocks account for around 50% of the production fluctuation in Asian economies. Third, during the episodes of 2007–2009 US financial crisis, the impact of financial shocks is greater than that of trade shocks. Results suggest that (i) Asian economies are not decoupled with US; and (ii) different from conventional findings, financial linkages between US and Asian economies are strong, especially for highly developed Asian economies. Therefore, investors and policymakers of Asian economies should take account of US financial conditions.
Keywords: Global financial crisis; Decouple–recouple; Contagion; Sign restriction VAR (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (29)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062940813001137
Full text for ScienceDirect subscribers only
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:eee:ecofin:v:27:y:2014:i:c:p:88-103
DOI: 10.1016/j.najef.2013.12.002
Access Statistics for this article
The North American Journal of Economics and Finance is currently edited by Hamid Beladi
More articles in The North American Journal of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().