Document de travail 2012-1
The Impact of External Shocks in East Asia: Lessons from a Structural VAR Model with Block Exogeneity
Jean-Pierre Allegret, Cécile Couharde et Cyriac Guillaumin
Résumé :
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.
Classification JEL : F32, F33, F4
Mots-clés : external shocks, East Asia, SVARX model.
