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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 ()

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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 risingimpact 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; financial crisis; SVARX model; East Asia; modèle; crise financière; modèle VAR; choc externe; Asie de l'est (search for similar items in EconPapers)
Date: 2012
New Economics Papers: this item is included in nep-sea
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00697310
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Published in 2012, pp.38

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