Forex and financial markets dynamics: A case of China and ASEAN

Figures & data

Table 1. Description of variables and sources

Variable	Details	Source
Y	ln (China’s Real GDP)	Bloomberg
Y‑Y*	Relative GDP = ln (China’s Real GDP)—ln (ASEAN Real GDP)	Bloomberg
EQ‑EQ*	Relative Equity = ln (China’s Stock Indices)—ln (ASEAN’s Weighted Average Stock Indices)	ADB
ER	Real Exchange Rate = ln (nominal exchange rate) + ln (foreign CPI)—ln (China’s CPI)	IMF
P	China’s CPI	ADB
P‑P*	Relative Prices = ln (China’s CPI)—ln (ASEAN’s weighted average CPI)	IMF
I‑I*	Relative Interest Rate = ln (China’s 3-month treasury bills rate)—ln (ASEAN’s weighted average short-term treasury bills rate)	IMF
I	China’s short-term treasury rates	IMF

Table 2. Stationary levels of variables

Series	Level		First difference		Status
	Test statistic	Critical value at 5%	Test statistic	Critical value at 5%
Y	−0.29475	−2.90292	−43.5308**	−2.9035	I (1) Stationary
Y‑Y*	−1.16853	−2.90292	−23.6612**	−2.9035	I (1) Stationary
EQ‑EQ*	−2.41407	−2.90292	−4.07311**	−2.90354	I (1) Stationary
ER	−0.87037	−2.90292	−3.01957*	−2.90354	I (1) Stationary
P	1.83341	−2.90292	−4.37871**	−2.90354	I (1) Stationary
P‑P*	−3.69795*	−3.47394	-	-	I (0) Stationary
I‑I*	−2.32861	−2.90292	−3.43279*	−2.90354	I (1) Stationary
I	−3.80447**	−2.90292	-	-	I (0) Stationary

Table 3. Description of shocks

Shock	Explanation
e^s	Supply Shock
e^sc	Common Supply Shock
e^d	Exchange Rate Shock
e^e	Equity (financial) Shock
e^ms	Money Supply Shock
e^msc	Common Money Supply Shock
e^d’	Money Demand Shock
e^d’c	Common Money Demand Shock

Figure 1. Response to Exchange rate Shock

Table A1. Variance decomposition for China-ASEAN equity in levels

Steps									Total
1	0.001	6.551	3.718	89.730	0.00	0.00	0.00	0.00	100
2	18.551	6.908	2.683	66.826	0.001	2.784	2.221	0.025	100
3	18.463	6.716	2.593	65.586	0.832	3.268	2.496	0.046	100
4	18.393	6.691	2.654	65.334	0.902	3.255	2.697	0.076	100
5	18.335	6.689	2.669	65.191	1.029	3.249	2.744	0.095	100
6	18.292	6.692	2.666	65.050	1.145	3.253	2.797	0.105	100
7	18.254	6.699	2.666	64.939	1.234	3.250	2.847	0.111	100
8	18.219	6.704	2.667	64.861	1.312	3.248	2.877	0.113	100
9	18.188	6.708	2.667	64.804	1.380	3.245	2.896	0.113	100
10	18.161	6.709	2.666	64.762	1.438	3.243	2.907	0.113	100

* Values of the shocks on exchange rate is represented in percentages term.

Table A2. Variance decomposition for China-ASEAN exchange rate (DER)

Steps									Total
1	2.492	1.447	96.062	0.000	0.000	0.000	0.000	0.000	100
2	2.472	1.378	89.680	3.840	0.370	1.008	1.213	0.039	100
3	2.671	1.377	89.403	3.830	0.393	1.015	1.255	0.057	100
4	2.809	1.380	89.020	3.950	0.441	1.069	1.261	0.070	100
5	2.813	1.387	88.938	3.948	0.446	1.069	1.317	0.081	100
6	2.826	1.395	88.860	3.968	0.456	1.071	1.336	0.088	100
7	2.837	1.401	88.794	3.984	0.464	1.074	1.354	0.093	100
8	2.845	1.405	88.747	3.995	0.470	1.075	1.367	0.096	100
9	2.849	1.408	88.713	4.005	0.475	1.076	1.375	0.098	100
10	2.853	1.411	88.688	4.012	0.480	1.077	1.381	0.099	100