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Monetary Integration in East Asia: An Empirical Approach

Author

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  • de Brito, José Brandão

    (Banco de Portugal and Technical University of Lisbon)

Abstract

This paper investigates empirically the economic feasibility of monetary integration in East Asia. A structural VAR model is employed to decompose real output, real exchange rate and price level into a lagged polynomial of supply, demand and monetary shocks. The shocks are identified through the imposition of long-run restrictions, which are extracted from a version of Clarida and Gali’s (1994) model extended in this paper to encompass the Balassa-Samuelson-effect. Once identified, the shocks are used to construct indicators relevant to monetary integration. Using the Euro-11 countries as benchmark, the overall results suggest that East Asian countries fulfil reasonably well the criteria looked at.

Suggested Citation

  • de Brito, José Brandão, 2004. "Monetary Integration in East Asia: An Empirical Approach," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 19, pages 536-567.
    • Handle: RePEc:ris:integr:0298
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    Citations

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    Cited by:

    1. Carlos Cortinhas, 2006. "Asymmetry of Shocks and Convergence in Selected Asean Countries: A Dynamic Analysis," Discussion Papers 0608, University of Exeter, Department of Economics.
    2. Peter B. Kenen & Ellen E. Meade, 2006. "Monetary integration in East Asia," Proceedings, Federal Reserve Bank of San Francisco, issue Jun.
    3. Chen, Xiaofen, 2012. "The dampening effect of bank foreign liabilities on monetary policy: Revisiting monetary cooperation in East Asia," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 412-427.

    More about this item

    Keywords

    Monetary integration; East Asia; optimum currency area; Balassa-Samuelson effect; structural VAR; long run identifying assumptions;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F15 - International Economics - - Trade - - - Economic Integration
    • F40 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - General

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