The impact of external shocks in East Asia : lessons from a structural VAR model with block exogeneity

Jean-Pierre Allegret (1) , Cécile Couharde (1) , Cyriac Guillaumin (2)

1 EconomiX - EconomiX
2 CREG - Centre de recherche en économie de Grenoble

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 risingimpact 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.

Mots clés: external shocks; financial crisis; SVARX model; East Asia

Mots clés: modèle; crise financière; modèle VAR; choc externe; Asie de l'est

Domaines: Economies et finances

Jean-Pierre Allegret, Cécile Couharde, Cyriac Guillaumin. The impact of external shocks in East Asia : lessons from a structural VAR model with block exogeneity. 2012, pp.38. ⟨halshs-00697310⟩