Title

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

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.

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

 
COinS
 

Link to publisher version (DOI)

10.1016/S0378-4754(03)00110-1