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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 1990Q1-2012Q2, a structural VAR model with block exogeneity (SVARX model) relying on a comprehensive set of external shocks. We document a rising impact of these external shocks on domestic variables since the mid 1990s. We also show that 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 financial shocks.

Keywords: Asie de l'Est; modèle VAR; choc externe; External Shocks; East Asia; SVARX Model (search for similar items in EconPapers)
Date: 2012
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00785873
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Published in International Economics/Economie Internationale, 2012, pp.35-89

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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) Downloads
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