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Article
Identifying shocks in regionally integrated East Asian economies with structural VAR and block exogeneity
ECU Publications 2011
  • Kiyotaka Sato
  • Zhaoyong Zhang, Edith Cowan University
  • Michael McAleer
Publication Date
1-1-2011
Document Type
Journal Article
Publisher
Elsevier BV, North-Holland
Faculty
Faculty of Business and Law
School
School of Accounting, Finance and Economics
RAS ID
12607
Comments
This article was originally published as: Sato, K., Zhang, Z. , & McAleer, M. (2011). Identifying shocks in regionally integrated East Asian economies with structural VAR and block exogeneity. Mathematics and Computers in Simulation, 81(7), 1353-1364. Original article available here
Abstract

In this paper we use a structural VAR model with block exogeneity to investigate if external shocks originating from the USA played a dominant role in influencing the macroeconomic fluctuations in East Asia during the period 1978-2007. The empirical results show a dynamic effect of external shocks, implying that, even though regional integration appears to be deepening and accelerating, especially after the recent global financial crisis, the influence of US shocks on real output fluctuations in the East Asian region is still very strong. The effects of Chinese shocks show an increasing trend over time, but the impacts are still small and not comparable with those of US shocks. The world oil price shock has become increasingly important in influencing the stability of real output growth in the region. The results from variance decomposition and impulse response analysis confirm the findings. Even though Japanese firms have established production networks in East Asia through trade and investment, and China has also grown rapidly and become a key regional country, the results suggest that US influence in the region is still asymmetric and strong. Therefore, it is difficult to conclude that shocks to the East Asian economies have become more regionally oriented

Disciplines
DOI
10.1016/j.matcom.2010.06.009
Citation Information
Kiyotaka Sato, Zhaoyong Zhang and Michael McAleer. "Identifying shocks in regionally integrated East Asian economies with structural VAR and block exogeneity" (2011)
Available at: http://works.bepress.com/zhaoyong_zhang/34/