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The Impact of External Shocks in East Asia: Lessons from a Structural VAR Model with Block Exogeneity

Author

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  • Jean-Pierre Allegret

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

  • Cécile Couharde

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

  • Cyriac Guillaumin

Abstract

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 rising impact 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.

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  • 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," Working Papers hal-04141141, HAL.
    • Handle: RePEc:hal:wpaper:hal-04141141
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    2. Boubakri, Salem & Guillaumin, Cyriac, 2015. "Regional integration of the East Asian stock markets: An empirical assessment," Journal of International Money and Finance, Elsevier, vol. 57(C), pages 136-160.
    3. Suliman Zakaria S. Abdalla, 2014. "The Impact of Oil Price Fluctuations on the Sudanese Stock Market Performance," Working Papers 887, Economic Research Forum, revised Dec 2014.
    4. Ibrahim Alnafrah & Sulaiman Mouselli, 2024. "Testing the External Shock Narrative of the Conflict on Transition Towards Knowledge Economy in Syria," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 15(1), pages 958-991, March.
    5. Carrillo-Maldonado, Paul & Díaz-Cassou, Javier, 2023. "An anatomy of external shocks in the Andean region," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
    6. John Baffes & M. Ayhan Kose & Franziska Ohnsorge & Marc Stocker, 2015. "The Great Plunge in Oil Prices: Causes, Consequences, and Policy Responses," Koç University-TUSIAD Economic Research Forum Working Papers 1504, Koc University-TUSIAD Economic Research Forum.
    7. Titus Ayobami Ojeyinka & Dauda Olalekan Yinusa, 2023. "External Shocks and Their Transmission Channels in Nigeria: A Dynamic Stochastic General Equilibrium Approach," Global Journal of Emerging Market Economies, Emerging Markets Forum, vol. 15(1), pages 132-153, January.
    8. Jamshaid Ur Rehman & Sehrish Fareen & Shabbir Ahmad & Aftab Anwar, 2022. "Dynamic Impact Of External Shocks On Macroeconomic Fundamentals Of Selected South Asian Countries," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 11(1), pages 197-207.
    9. 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.
    10. BESSO, CHRISTOPHE RAOUL & chameni, celestin, 2016. "Analyse De La Vulnerabilite Macroeconomique De La Zone Franc [Analysis Of The Macroeconomic Vulnerability Of The Franc Zone]," MPRA Paper 75143, University Library of Munich, Germany.
    11. Vu, Tuan Khai & Nakata, Hayato, 2014. "The Macroeconomic Effects of Oil Price Fluctuations in ASEAN Countries: Analysis Using a VAR with Block Exogeneity," Discussion Paper Series 619, Institute of Economic Research, Hitotsubashi University.
    12. Umit Bulut, 2023. "Measuring the impacts of monetary policy in Turkey: an extended structural vector autoregressive model with structural breaks," International Journal of Economic Policy Studies, Springer, vol. 17(1), pages 117-132, February.
    13. Jagannath Mallick, 2019. "The effects of government investment shocks on private investment: Empirical evidence from the developing economy," Indian Economic Review, Springer, vol. 54(2), pages 291-316, December.
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    15. Necibi, Thameur & Issaoui, Fakhri, 2013. "The impact of oil prices on economic activity in administrated price structure: the case of Tunisia," MPRA Paper 50420, University Library of Munich, Germany.
    16. Ong, Sheue Li & Sato, Kiyotaka, 2018. "Regional or global shock? A global VAR analysis of Asian economic and financial integration," The North American Journal of Economics and Finance, Elsevier, vol. 46(C), pages 232-248.
    17. 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.
    18. Jawadi, Fredj & Mallick, Sushanta K. & Sousa, Ricardo M., 2016. "Fiscal and monetary policies in the BRICS: A panel VAR approach," Economic Modelling, Elsevier, vol. 58(C), pages 535-542.
    19. Marine Coupaud, 2013. "Contagion Des Crises De 1997 Et 2008 En Asean+3: Un Modele Var Structurel," Working Papers hal-00913175, HAL.
    20. Giscard Assoumou Ella, 2013. "Impact of international income, prices and monetary shocks on real exchange rate in eight African economies: An empirical study," The Empirical Econometrics and Quantitative Economics Letters, Faculty of Economics, Chiang Mai University, vol. 2(3), pages 41-54, September.
    21. Vu, Tuan Khai & Nakata, Hayato, 2018. "Oil price fluctuations and the small open economies of Southeast Asia: An analysis using vector autoregression with block exogeneity," Journal of Asian Economics, Elsevier, vol. 54(C), pages 1-21.

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    More about this item

    Keywords

    external shocks; East Asia; SVARX model.;
    All these keywords.

    JEL classification:

    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission

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