Macroeconomic linkages and international shock transmissions in East Asia: A global vector autoregressive approach

Figures & data

Figure 1. Percentage volume of trading activities within the ASEAN+3 countries.

Source: Computed by the Author from the direction of trade statistics of GVAR database obtained in (Smith & Galesi, 2014).

Figure 2. Persistence profile of the effect of system-wide shocks to the cointegrating relations of the GVAR model.

Table 1. Contemporaneous effects of foreign variables on domestic counterparts

	Real GDP	Inflation rate	Real equity prices	Short-term interest
China	0.56*	0.07	–	0.01
	[2.96]	[0.03]		[0.37]
Indonesia	0.30	0.58	–	0.06
	[1.24]	[1.26]		[0.25]
Japan	0.67*	−0.11	0.71*	−0.03
	[3.48]	[−1.39]	[7.07]	[−0.15]
Korea South	0.52*	0.38*	0.80*	−0.14*
	[2.38]	[2.58]	[4.11]	[−2.16]
Malaysia	1.42*	0.77*	1.23*	0.01
	[5.21]	[5.33]	[7.05]	[0.08]
Philippines	0.07	−0.24	1.04*	0.62
	[0.24]	[−0.77]	[7.05]	[1.78]
Singapore	1.26*	0.19	1.22*	0.21*
	[5.48]	[1.47]	[10.91]	[1.91]
Thailand	0.80*	0.46	1.01*	0.23
	[2.05]	[1.82]	[7.82]	[1.33]
USA	0.53*	0.09	–	–
	[4.78]	[1.36]

Note: Figures in brackets are White’s adjusted t-ratio.

* Indicate significance.

Figure 5. Graphs of effects of one standard error negative shock to short-term interest rate on ASEAN+3.

Figure 7. Graphs of effects of one standard error negative shock to inflation rate on ASEAN+3.

Table

Country	F-test	Critical values	Real GDP	Inflation	Equity prices	Interest rate	Oil prices
China	F(2,117)	3.07	0.16	0.33	0.18	2.15	1.40
Indonesia	F(3,116)	2.68	0.47	1.06	1.23	1.50	0.79
Japan	F(2,115)	3.08	1.77	2.29	1.10	0.03	0.63
Korea	F(3,114)	2.68	0.32	0.24	2.35	0.55	1.49
Malaysia	F(1,117)	3.92	2.10	0.04	1.02	1.98	3.21
Philippines	F(2,116)	3.07	0.08	1.55	0.95	1.92	2.75
Singapore	F(2,116)	3.07	2.97	0.39	1.91	1.41	2.18
Thailand	F(2,116)	3.07	0.65	0.69	0.20	0.02	0.01
USA	F(2,119)	3.07	0.76	2.35	–	–	–

Table

	Real output				Inflation
	Levels	First Differ.	VAR Resi.	VARX Resid.	Levels	First Differ.	VAR Resi.	VARX Resid.
China	0.973	0.075	0.071	−0.066	0.076	0.081	0.091	−0.018
Indonesia	0.963	0.104	0.066	−0.012	0.015	0.044	0.063	0.025
Japan	0.904	0.196	0.108	−0.036	0.461	0.104	0.111	0.036
Korea	0.961	0.126	0.056	0.006	0.397	0.068	0.097	0.017
Malaysia	0.968	0.217	0.153	−0.008	0.309	0.122	0.138	0.017
Philippines	0.946	0.072	0.030	0.011	0.242	0.040	0.061	0.019
Singapore	0.971	0.205	0.110	−0.020	0.313	0.052	0.069	0.009
Thailand	0.950	0.185	0.112	0.011	0.338	0.076	0.134	−0.003
USA	0.969	0.255	0.117	−0.053	0.466	0.209	0.230	0.041
	Short-term interest				Equity prices
	Levels	First Differ.	VAR Resi.	VARX Resid.	Levels	First Differ.	VAR Resi.	VARX Resid.
China	0.525	0.074	0.012	0.017	0.412	0.454	–	−0.073
Indonesia	0.169	0.072	0.064	0.047	0.707	0.346	–	−0.027
Japan	0.651	0.074	0.045	0.023	0.580	0.362	0.337	0.007
Korea	0.616	0.084	0.052	0.061	0.717	0.354	0.305	−0.011
Malaysia	0.470	0.086	0.048	0.055	0.727	0.519	0.348	0.002
Philippines	0.601	0.098	0.073	0.027	0.621	0.365	0.279	0.007
Singapore	0.589	0.085	0.061	0.016	0.813	0.559	0.394	−0.009
Thailand	0.612	0.119	0.099	0.042	0.612	0.119	0.349	0.042
USA	0.606	0.111	0.085	0.017	0.606	0.111	0.473	0.017
	Exchange rate
China	0.300	0.086	0.220	0.046
Indonesia	0.153	0.214	0.188	0.112
Japan	0.727	0.230	0.182	0.177
Korea	0.794	0.265	0.232	0.154
Malaysia	0.694	0.283	0.262	0.188
Philippines	0.792	0.166	0.179	0.137
Singapore	0.810	0.408	0.286	0.274
Thailand	0.787	0.302	0.276	0.219
USA	–	–	–	–

Smith, L., & Galesi, A. (2014). GVAR toolbox 2.0. University of Cambridge: Judge Business School.

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