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Title: Asian monetary integration: A structural VAR approach
Authors: Zhang, Z. 
Sato, K.
McAleer, M.
Keywords: East Asian region
Exchange rate
Optimum currency area
Vector autoregressions
Issue Date: 2004
Citation: Zhang, Z., Sato, K., McAleer, M. (2004). Asian monetary integration: A structural VAR approach. Mathematics and Computers in Simulation 64 (3-4) : 447-458. ScholarBank@NUS Repository.
Abstract: This paper examines whether forming an optimum currency area (OCA) is viable for the East Asian region by testing the symmetry of underlying structural shocks. A structural vector autoregression (VAR) method is used to identify the underlying shocks and to examine the correlation in shocks for specified sample periods. Decomposition of the variance of shocks and impulse response analysis are used to examine the size and the speed of adjustments to shocks. The results imply that some sub-regions are potential candidates for forming OCAs, as their shocks are correlated and small, and the economies adjust rapidly to such shocks. © 2003 IMACS. Published by Elsevier B.V. All rights reserved.
Source Title: Mathematics and Computers in Simulation
ISSN: 03784754
DOI: 10.1016/S0378-4754(03)00110-1
Appears in Collections:Staff Publications

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