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(A)symetrie et convergence des chocs macroeconomiques en Asie de l'Est : une analyse dynamique

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  • Cyriac Guillaumin

Abstract

L’objectif de cet article est d’identifier le degre d’(a)symetrie des chocs macroeconomiques qui affectent les pays de l’Asean+3 et d’examiner leur evolution au cours du temps afin de mieux comprendre l’enjeu d’une zone monetaire asiatique. Dans un premier temps, nous utilisons un processus VAR structurel pour decomposer les chocs macroeconomiques puis determiner leur degre de correlation. Ces coefficients de correlation sont calcules de maniere inconditionnelle sur toute la periode, ce qui ne permet pas de saisir leur evolution. C’est pourquoi, dans un second temps, nous utilisons une methodologie basee sur les modeles a parametres variables dans le temps. Les resultats montrent que les chocs de demande, monetaires et externes sont tres correles entre les pays d’Asie de l’Est. Cependant, les chocs d’offre sont plus heterogenes, surtout depuis la crise financiere de 1997. Nous montrons egalement que les chocs de demande, monetaires et externes convergent davantage que les chocs d’offre pour la plupart des pays. Ces resultats seraient un argument en faveur des changes fixes a l’interieur de la region, du type union monetaire par exemple.

Suggested Citation

  • Cyriac Guillaumin, 2008. "(A)symetrie et convergence des chocs macroeconomiques en Asie de l'Est : une analyse dynamique," Economie Internationale, CEPII research center, issue 114, pages 29-68.
    • Handle: RePEc:cii:cepiei:2008-2tb
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    Cited by:

    1. Jean-Pierre Allegret & Cécile Couharde & Cyriac Guillaumin, 2012. "The Impact of External Shocks in East Asia: Lessons from a Structural VAR Model with Block Exogeneity," International Economics, CEPII research center, issue 132, pages 35-89.
    2. NAPO, Fousséni, 2018. "Capital humain, productivité manufacturière et croissance économique dans les pays de l’UEMOA [Human capital, manufacturing productivity and economic growth in WAEMU countries]," MPRA Paper 89450, University Library of Munich, Germany, revised 12 Oct 2018.
    3. Catherine Figuière & Laëtitia Guilhot & Cyriac Guillaumin, 2013. "La question du régime de change en Asie de l'Est : Vers un bloc monétaire régional ?," Revue d'économie politique, Dalloz, vol. 123(2), pages 265-298.
    4. Cécile Couharde & Cyriac Guillaumin, 2011. "Chocs externes et perspective d'union monétaire en Asie de l'Est : les enseignements d'un modèle VAR structurel," Post-Print halshs-00632373, HAL.
    5. Marien Coupaud, 2013. "Contagion des crises de 1997 et 2008 en ASEAN+3 : un modèle VAR structurel," Larefi Working Papers 1306, Larefi, Université Bordeaux 4.
    6. Guillaumin, Cyriac, 2009. "Financial integration in East Asia: Evidence from panel unit root and panel cointegration tests," Journal of Asian Economics, Elsevier, vol. 20(3), pages 314-326, May.
    7. Marine Coupaud, 2013. "Contagion Des Crises De 1997 Et 2008 En Asean+3: Un Modele Var Structurel," Working Papers hal-00913175, HAL.
    8. Marine COUPAUD, 2014. "Contagion Des Crises De 1997 Et 2008 En Asean+3 : Un Modèle Var Structurel," Region et Developpement, Region et Developpement, LEAD, Universite du Sud - Toulon Var, vol. 40, pages 113-138.

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    More about this item

    Keywords

    (a)symetrie des chocs; VAR structurels; filtre de Kalman; Asean+3;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • F15 - International Economics - - Trade - - - Economic Integration
    • F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions

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