2011年3月
Identifying shocks in regionally integrated East Asian economies with structural VAR and block exogeneity
MATHEMATICS AND COMPUTERS IN SIMULATION
- ,
- ,
- 巻
- 81
- 号
- 7
- 開始ページ
- 1353
- 終了ページ
- 1364
- 記述言語
- 英語
- 掲載種別
- 研究論文(学術雑誌)
- DOI
- 10.1016/j.matcom.2010.06.009
- 出版者・発行元
- ELSEVIER SCIENCE BV
In this paper we use a structural VAR model with block exogeneity to investigate if external shocks originating from the USA played a dominant role in influencing the macroeconomic fluctuations in East Asia during the period 1978-2007. The empirical results show a dynamic effect of external shocks, implying that, even though regional integration appears to be deepening and accelerating, especially after the recent global financial crisis, the influence of US shocks on real output fluctuations in the East Asian region is still very strong. The effects of Chinese shocks show an increasing trend over time, but the impacts are still small and not comparable with those of US shocks. The world oil price shock has become increasingly important in influencing the stability of real output growth in the region. The results from variance decomposition and impulse response analysis confirm the findings. Even though Japanese firms have established production networks in East Asia through trade and investment, and China has also grown rapidly and become a key regional country, the results suggest that US influence in the region is still asymmetric and strong. Therefore, it is difficult to conclude that shocks to the East Asian economies have become more regionally oriented. (c) 2010 IMACS. Published by Elsevier B.V. All rights reserved.
- リンク情報
- ID情報
-
- DOI : 10.1016/j.matcom.2010.06.009
- ISSN : 0378-4754
- Web of Science ID : WOS:000288729200012