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

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  • Cyriac Guillaumin

    (CEPN - Centre d'Economie de l'Université Paris Nord (ancienne affiliation) - UP13 - Université Paris 13 - CNRS - Centre National de la Recherche Scientifique)

Abstract

L'objectif de ce papier est d'identifier le degré d'(a)symétrie des chocs macroéconomiques et d'examiner leur évolution au fil du temps pour les pays de l'Asean+3 afin de mieux comprendre les choix en terme de régime de change. Notre analyse s'effectue en deux temps. Dans un premier temps, nous utilisons un processus VAR structurel (SVAR) pour décomposer, selon la méthodologie de Blanchard et Quah (1989), les chocs macroéconomiques puis déterminer leur degré de corrélation. Toutefois, les coefficients de corrélation ne permettent pas de juger l'évolution de l'(a)symétrie des chocs. Ainsi, le calcul des coefficients de corrélation inconditionnelle entre les chocs subit un défaut d'invariance structurelle adressant une critique de Lucas (1976) à la plupart des travaux en termes de symétrie des chocs au sujet de la dynamique des zones monétaires optimales. Pour tenter de corriger ce problème, nous élargissons l'analyse des chocs d'offre et de demande en mesurant une corrélation dans le temps comme le propose Boone (1997) permettant ainsi d'observer l'évolution de la convergence des structures entre économies de l'Asean+3. Pour cela, nous utilisons une méthodologie dynamique basée sur le filtre de Kalman. Les résultats montrent qu'il n'y a pas de convergence globale au niveau de la zone. Cependant, une analyse plus spécifique montre qu'il existe une convergence relative des chocs de demande entre certains pays. Nos résultats font également apparaître que la crise financière de 1997 n'a pas eu les mêmes effets sur les pays de l'Asean+3 et qu'il y a une avant et un après crise.

Suggested Citation

  • Cyriac Guillaumin, 2007. "(A)symétrie et convergence des chocs macroéconomiques en Asie de l'Est: une analyse dynamique," Post-Print hal-00192626, HAL.
    • Handle: RePEc:hal:journl:hal-00192626
    Note: View the original document on HAL open archive server: https://hal.science/hal-00192626
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    Cited by:

    1. 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.
    2. 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.
    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. 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.
    5. 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.
    6. Marine Coupaud, 2013. "Contagion Des Crises De 1997 Et 2008 En Asean+3: Un Modele Var Structurel," Working Papers hal-00913175, HAL.
    7. 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.
    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)symétrie des chocs; convergence des cycles économiques; 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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