Asian Monetary Integration: A Structural VAR Approach
Document Type
Journal Article
Publisher
Elsevier BV, North-Holland
Faculty
Faculty of Business and Law
School
School of Accounting, Finance and Business Economics
RAS ID
8058
Abstract
This paper examines whether forming an optimum currency area (OCA) is viable for the East Asian region by testing the symmetry of underlying structural shocks. A structural vector autoregression (VAR) method is used to identify the underlying shocks and to examine the correlation in shocks for specified sample periods. Decomposition of the variance of shocks and impulse response analysis are used to examine the size and the speed of adjustments to shocks. The results imply that some sub-regions are potential candidates for forming OCAs, as their shocks are correlated and small, and the economies adjust rapidly to such shocks.
DOI
10.1016/S0378-4754(03)00110-1
Comments
Zhang, Z., Sato, K., & McAleer, M. (2004). Asian monetary integration: a structural VAR approach. Mathematics and Computers in Simulation, 64(3-4), 447-458.