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:: Volume 14, Issue 2 (Spring 2019) ::
J. Mon. Ec. 2019, 14(2): 205-230 Back to browse issues page
Macroeconomic, International Linkage and Effects of External Shocks in Southeast Asian Emerging Economies
Mohammad Reza Alizadeh Janvisloo 1, Reza Sherafatian-Jahromi2
1- Tejarat Bank
2- Universiti Putra Malaysia
Abstract:   (699 Views)

This study is an attempt to examine the effects of external shocks on macroeconomic variables in selective small open emerging economies in Southeast Asia. A quarterly Global Vector Autoregressive (GVAR) model, including 33 countries, was used throughout 1979–2013. The empirical results showed that the target countries were affected by external shocks, especially the shocks in the U.S, Euro area, China, South Korea, Singapore, and oil price, due to a high dependency on exports and a high degree of globalization in financial markets. The difference in the economic structure of these countries has led to different reactions to shocks. Meanwhile, equity price, exchange rate, and the real output were the most important transmitters of shocks to the interior economy. Furthermore, the shock to the macroeconomic situation in the U.S, the U.K, and South Korea is related to the top ten effective factors on Forecast Error Variance Decomposition (FEVD) of these three variables. Concurrently, the domestic shock in GDP and the exchange rate in each country, except Indonesia, have the highest share in FEVD. According to the results, the effects of the mentioned shocks have to be noticed by macro-prudential analysis studies in the target countries to optimally manage the risks in the various areas of the economy.

Keywords: Global VAR, International Linkage, VECM Models, Impulse Response, Error Variance Decomposition, Emerging Economies
Full-Text [PDF 422 kb]   (474 Downloads)    
Type of Study: Original Research - Case Study | Subject: Macroeconomics
Received: 16 Jun 2019 | Accepted: 16 Oct 2019 | Published: 5 May 2020
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Alizadeh Janvisloo M R, Sherafatian-Jahromi R. Macroeconomic, International Linkage and Effects of External Shocks in Southeast Asian Emerging Economies. J. Mon. Ec.. 2019; 14 (2) :205-230
URL: http://jme.mbri.ac.ir/article-1-426-en.html

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Volume 14, Issue 2 (Spring 2019) Back to browse issues page
Journal of Money and Economy Journal of Money And Economy
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