Cyriac Guillaumin

The Impact of External Shocks in East Asia: Lessons from a Structural VAR Model with Block Exogeneity

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 1990Q1-2012Q2, a structural VAR model with block exogeneity (SVARX model) relying on a comprehensive set of external shocks. We document a rising impact of these external shocks on domestic variables since the mid 1990s. We also show that 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 financial shocks.

Can external shocks explain the Asian side of global imbalances ? Lessons from a structural VAR model with block exogeneity

During the 2000s, we observed the accumulation of global imbalances resulting primarily from massive current account imbalances in the USA and in Asia. This paper studies the impact of external shocks on East Asian countries in order to determine if these can account for the Asian side of global imbalances. To this end, we estimate a structural vector autoregression (VAR) model with block exogeneity using Bayesian inference. The three external shocks are an oil shock, a US monetary shock and a US financial shock. Our main findings are as follows: (i) external shocks account for the current account surplus in Korea, Malaysia, the Philippines, Singapore, and Thailand and, to a lesser extent, in Japan and Indonesia; (ii) the oil shock and the US monetary shock seem to have influenced current account balances through real and monetary channels, and the US financial shock through the financial channel.

Assessing the financial integration of Central and Eastern European countries with the euro area: Evidence from panel data cointegration tests

The aim of this paper is to assess the financial integration degree of the Central and Eastern European Countries (CEECs) with the euro area in the prospect of their integration in the Economic and Monetary Union (EMU). To this end, we test the Feldstein-Horioka regression for a non-stationary and heterogeneous panel of 10 CEECs and the euro area. In order to overcome some empirical shortcomings of this approach, we employ the recently developed panel data unit root tests and cointegration techniques. The empirical findings reveal that the financial integration process of the CEECs with the euro area is not yet complete. Another contribution of this paper is to show that this process is linked to the institutional monetary arrangement of these countries.