The Impact of External Shocks in East Asia: Lessons from a Structural VAR Model with Block Exogeneity

Jean-Pierre Allegret, Cécile Couharde and Cyriac Guillaumin

No 2012-1, EconomiX Working Papers from University of Paris Nanterre, EconomiX

Abstract: In this paper, we examine the relative importance of external shocks in domestic fluctuations of East Asian countries and check if these shocks lead to asymmetric or symmetric reactions between the considered economies. To this end, we estimate, over the period 1990.1-2010.4, a structural VAR model with block exogeneity (SVARX model) relying on a comprehensive set of external shocks. We firstly document a rising impact of these external shocks on domestic variables since the mid 1990s. Finally, real oil price and U.S. GDP shocks have a significant impact on domestic activity and lead to more symmetric responses, compared to U.S. monetary shock and MSCI Index financial shocks.

Keywords: external shocks; East Asia; SVARX model (search for similar items in EconPapers)
JEL-codes: F32 F33 F42 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2012
New Economics Papers: this item is included in nep-ifn and nep-sea
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Citations: View citations in EconPapers (20)

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Related works:
Journal Article: The Impact of External Shocks in East Asia: Lessons from a Structural VAR Model with Block Exogeneity (2012)
Working Paper: The Impact of External Shocks in East Asia: Lessons from a Structural VAR Model with Block Exogeneity (2012)
Working Paper: The impact of external shocks in East Asia: lessons from a structural VAR model with block exogeneity (2012)
Working Paper: The Impact of External Shocks in East Asia: Lessons from a Structural VAR Model with Block Exogeneity (2012)
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