The impact of external shocks in East Asia : lessons from a structural VAR model with block exogeneity
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2012
- handle: 10670/1.qf8qou
- halshs: halshs-00697310
info:eu-repo/semantics/OpenAccess
Mots-clés
external shocks financial crisis SVARX model East Asia modèle crise financière modèle VAR choc externe Asie de l'estCiter ce document
Jean-Pierre Allegret et al., « The impact of external shocks in East Asia : lessons from a structural VAR model with block exogeneity », HAL-SHS : économie et finance, ID : 10670/1.qf8qou
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Résumé
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.