Regional or global shock? A global VAR analysis of Asian economic and financial integration
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.) s...
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my.um.eprints.210652019-04-24T07:36:20Z http://eprints.um.edu.my/21065/ Regional or global shock? A global VAR analysis of Asian economic and financial integration Ong, Sheue Li Sato, Kiyotaka HC Economic History and Conditions 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. Elsevier 2018 Article PeerReviewed Ong, Sheue Li and Sato, Kiyotaka (2018) Regional or global shock? A global VAR analysis of Asian economic and financial integration. The North American Journal of Economics and Finance, 46. pp. 232-248. ISSN 1062-9408 https://doi.org/10.1016/j.najef.2018.04.009 doi:10.1016/j.najef.2018.04.009 |
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HC Economic History and Conditions Ong, Sheue Li Sato, Kiyotaka Regional or global shock? A global VAR analysis of Asian economic and financial integration |
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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. |
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Article |
author |
Ong, Sheue Li Sato, Kiyotaka |
author_facet |
Ong, Sheue Li Sato, Kiyotaka |
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Ong, Sheue Li |
title |
Regional or global shock? A global VAR analysis of Asian economic and financial integration |
title_short |
Regional or global shock? A global VAR analysis of Asian economic and financial integration |
title_full |
Regional or global shock? A global VAR analysis of Asian economic and financial integration |
title_fullStr |
Regional or global shock? A global VAR analysis of Asian economic and financial integration |
title_full_unstemmed |
Regional or global shock? A global VAR analysis of Asian economic and financial integration |
title_sort |
regional or global shock? a global var analysis of asian economic and financial integration |
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Elsevier |
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2018 |
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http://eprints.um.edu.my/21065/ https://doi.org/10.1016/j.najef.2018.04.009 |
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