Regional or global shock? A global VAR analysis of Asian economic and financial integration
Document Type
Journal Article
Publication Title
The North American Journal of Economics and Finance
Publisher
Elsevier
Place of Publication
Netherlands
School
School of Business and Law
RAS ID
29310
Abstract
This study employs a global vector autoregressive (GVAR) model to empirically investigate the viability of regional monetary arrangements in Asia. In marked contrast to the previous studies, we analyzed whether recent regional economic and financial integration in Asia were driven by global (U.S.) shock or regional (Japanese and Chinese) shock, using the GVAR model that allows global inter-linkages between domestic and foreign variables. By estimating generalized impulse responses of Asian economies’ real outputs and interest rates to global and regional shocks, we found that the Chinese shock exerted more real and financial influences on Asian economies than the U.S. shock. Another regional shock, i.e., the Japanese shock, had a far smaller influence on Asian economies. The relative importance of regional shocks originating from China needs to be considered when establishing regional monetary arrangements in Asia.
DOI
10.1016/j.najef.2018.04.009
Access Rights
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Comments
Ong, S. L., & Sato, K. (2018). Regional or global shock? A global VAR analysis of Asian economic and financial integration. The North American Journal of Economics and Finance. 46, 232-248. Available here.