Re-examining Symmetry of Shocks for East Asia: Results Using a VAR with Sign Restrictions
Re-examining Symmetry of Shocks for East Asia: Results Using a VAR with Sign Restrictions
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重新检查东亚冲击的对称性：使用带有符号限制的 VAR 的结果
DOI：
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发表时间：
2008
期刊：
影响因子：
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通讯作者：
Vu Tuan Khai
中科院分区：
文献类型：
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作者：
Vu Tuan Khai
我从冲击对称性的角度重新审视有关东亚引入共同货币的可能性的热门话题。我首先指出现有研究中使用Blanchard和Quah（1989）提出的带有长期限制的VAR方法的一个严重问题，即同一结构冲击的脉冲响应函数的符号在不同国家之间不一定一致。这意味着结构性冲击的高（低）相关性并不一定意味着共同货币区的成本低（高）。为了克服这个问题，我应用了 Uhlig (2005) 开发的带有符号限制的 VAR 方法。我使用AD-AS模型对GDP和CPI对需求和供给冲击的反应施加符号限制。一项主要发现是，几乎所有东亚国家的需求冲击都显着正相关。但总体而言，东亚作为一个整体并不适合采用共同货币，因为供应冲击的相关性较低。
I revisit the hotly debated topic regarding the possibility of introducing a common currency for East Asia from the point of view of shock symmetry. I first point out a serious problem of the existing studies which use the VAR method with long-run restrictions developed by Blanchard and Quah (1989) in that the signs of the impulse response functions to the same structural shock are not necessarily consistent across the countries. This means that the high (low) correlations of structural shocks do not necessarily imply low (high) costs of a common currency area. To overcome this problem, I apply the VAR method with sign restrictions developed by Uhlig (2005). I used the AD-AS model to impose sign restrictions on the responses of GDP and CPI to demand and supply shocks. One main finding is that demand shocks are significantly positively correlated among almost all East Asian countries. But overall, East Asia as a whole is not suitable for a common currency because correlations of supply shocks are low.
东亚实际产出联动：有货币联盟的证据吗？
DOI：
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发表时间：
2006
期刊：
The World Economy Vo.29(12)
影响因子：
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作者：
Sato;K.;Z.Y.Zhang
通讯作者：
Z.Y.Zhang