Asian Monetary Integration: A Structural VAR Approach

Zhaoyong Zhang, Kiyotaka Sato and Michael McAleer
Additional contact information
Kiyotaka Sato: Yokkohama National University

No CIRJE-F-212, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: This paper examines whether forming an optimum currency area (OCA) is viable for the East Asian region by testing the symmetry of underlying structural shocks. A structural vector autoregression (VAR) method is used to identify the underlying shocks and to examine the correlation in shocks for specified sample periods. Decomposition of the variance of shocks and impulse response analysis are used to examine the size and the speed of adjustments to shocks. The results imply that some sub-regions are potential candidates for forming OCAs, as their shocks are correlated and small, and the economies adjust rapidly to such shocks.

Pages: 23 pages
Date: 2003-03
New Economics Papers: this item is included in nep-cba and nep-ifn
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Citations: View citations in EconPapers (11)

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Journal Article: Asian monetary integration: a structural VAR approach (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:tky:fseres:2003cf212

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