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Output volatility of five crisis-affected East Asia economies

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  • Li, Kui-Wai
  • Kwok, Ming-Lok

Abstract

A decade has passed since the Asian financial crisis (AFC) in 1997, and attention is drawn to the output performance of the crisis-affected economies in East Asia. Using the Hodrick-Prescott (HP) filter, this paper examines the growth volatility of GDP, its components and the stock market of five East Asia economies of Japan, Singapore, South Korea, Chinese Taipei and Hong Kong Special Administrative Region (SAR). Empirical evidences based on quarterly data show that output volatility for both Singapore and South Korea has increased after the AFC. For the GDP components, trade is a major factor in lowering GDP volatility in Chinese Taipei. The Hong Kong SAR economy has experienced an increase/decrease in the volatility of investment/private consumption. Among the five East Asia economies, government intervention is obvious in Singapore. The stock markets in both Hong Kong SAR and Chinese Taipei showed stronger ability in absorbing shocks.

Suggested Citation

  • Li, Kui-Wai & Kwok, Ming-Lok, 2009. "Output volatility of five crisis-affected East Asia economies," Japan and the World Economy, Elsevier, vol. 21(2), pages 172-182, March.
    • Handle: RePEc:eee:japwor:v:21:y:2009:i:2:p:172-182
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    1. Tatsuyoshi Miyakoshi & Kui-Wai Li & Junji Shimada, 2014. "Rational expectation bubbles: evidence from Hong Kong's sub-indices," Applied Economics, Taylor & Francis Journals, vol. 46(20), pages 2429-2440, July.
    2. Badarau-Semenescu, Cristina & Ndiaye, Cheikh Tidiane, 2010. "Politique économique et transmission des chocs dans la zone euro," L'Actualité Economique, Société Canadienne de Science Economique, vol. 86(1), pages 35-77, mars.

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