Jean-Pierre Allegret

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.

Adjustment mechanisms and exchange rate regimes in 2004 new EU members during the financial crisis

The global economic crisis confronted emerging European countries with abrupt external shocks, while adjustment mechanisms differed according to exchange rate regimes. ‘Fixers’ were forced to accept internal devaluation, while ‘floaters’ used the exchange rate as a shock absorber. Empirical research is based on six emerging European countries in January 2004–December 2010 and the January 2008–December 2010 crisis period. This article explores the real exchange rate as an adjustment mechanism variable, crisis transmission to the real economy, and foreign exchange intervention as a way of exchange rate management/defence. The relations investigated are observed using VAR models in order to distinguish between the groups of ‘floaters’ and ‘fixers’.

Oil currencies in the face of oil shocks: what can be learned from time-varying specifications?

ABSTRACT While the oil currency property is clearly established from a theoretical viewpoint, its existence is less clear-cut in the empirical literature. We investigate the reasons for this apparent puzzle by studying the time-varying nature of the relationship between real effective exchange rates of five oil exporters and the real price of oil in the aftermath of the oil price shocks of the last two decades. Accordingly, we rely on a time-varying parameter VAR specification, which allows the responses of real exchange rates to different oil price shocks to evolve over time. We find that the reason of the mixed results obtained in the empirical literature is that oil currencies follow different hybrid models in the sense that oil countries’ real exchange rates may be driven by one or several sources of oil price shocks that furthermore can vary over time. In addition to structural changes affecting oil countries, structural changes arising from the oil market itself through the various, time-varying sources of oil price shocks are found to be crucial.