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on South East Asia |
| By: | Gilles De Truchis (AMSE - Aix-Marseille School of Economics - Aix-Marseille Univ. - Centre national de la recherche scientifique (CNRS) - École des Hautes Études en Sciences Sociales [EHESS] - Ecole Centrale Marseille (ECM)); Benjamin Keddad (AMSE - Aix-Marseille School of Economics - Aix-Marseille Univ. - Centre national de la recherche scientifique (CNRS) - École des Hautes Études en Sciences Sociales [EHESS] - Ecole Centrale Marseille (ECM)) |
| Abstract: | Two integrated financial markets are generally subjected to common shocks revealing that commonalities in fundamentals drive the underlying return processes. In such a case, volatilities should share a long-run component although their transitory components might temporary diverge. Accordingly, we investigate financial integration in East Asian by analyzing the co-persistent nature of their integrated volatilities. Using recent fractional cointegration techniques, we find that volatilities of several markets converge in long-run to a common stochastic equilibrium. Our results reveal that a global integration process drives the most developed markets of the region, while no evidence of co-persistence appears between emerging markets. |
| Keywords: | integrated volatility; co-persistence; fractional cointegration; East Asian stock markets; financial integration |
| Date: | 2013–09 |
| URL: | http://d.repec.org/n?u=RePEc:hal:wpaper:halshs-00862256&r=sea |
| By: | Benjamin Keddad (AMSE - Aix-Marseille School of Economics - Aix-Marseille Univ. - Centre national de la recherche scientifique (CNRS) - École des Hautes Études en Sciences Sociales [EHESS] - Ecole Centrale Marseille (ECM)) |
| Abstract: | In this paper, I examine the extent to which the Asian exchange rates are coordinated around a synthetic Asian Currency Unit (ACU) defined as a basket of the Asian currencies. Using a VAR model, the results provide some evidence of stabilization among the Asian exchange rates around the ACU. Although the US dollar remains the dominant anchor within the region, these countries have allowed for more exchange rate flexibility against the US dollar since 2006, with the aim to adopt a basket peg where the Asian currencies have gained an increasing role. The empirical results also suggest that the official adoption of an undisclosed currency basket by Chinese authorities in July 2005 has been an important factor in the decision of Asian countries to shift toward a de facto currency basket system. |
| Keywords: | Asian Currency Unit; monetary integration; currency basket peg; nominal exchange rate coordination |
| Date: | 2013–09 |
| URL: | http://d.repec.org/n?u=RePEc:hal:wpaper:halshs-00862254&r=sea |
| By: | Gilles Dufrénot (AMSE - Aix-Marseille School of Economics - Aix-Marseille Univ. - Centre national de la recherche scientifique (CNRS) - École des Hautes Études en Sciences Sociales [EHESS] - Ecole Centrale Marseille (ECM)); Benjamin Keddad (AMSE - Aix-Marseille School of Economics - Aix-Marseille Univ. - Centre national de la recherche scientifique (CNRS) - École des Hautes Études en Sciences Sociales [EHESS] - Ecole Centrale Marseille (ECM)) |
| Abstract: | This paper attempts to analyze the relationships between the ASEAN-5 countries' business cycles. We examine the nature of business cycles correlation trying to disentangle between regional spillover effects (expansion and recession phases among the ASEAN-5 are correlated) and global spillovers where the business cycles of other countries (China, Japan and the US) play an important role in synchronizing the activity within the ASEAN-5. We employ a time-varying transition probability Markov switching framework in order to allow the degree of synchronization to fluctuate over time and across the phases of the business cycles. We provide evidence that the signals contained in some leading business cycles can impact the ASEAN-5 countries' individual business cycles. |
| Keywords: | OCA; East Asia; business cycle synchronization; monetary union; markov-switching |
| Date: | 2013–09 |
| URL: | http://d.repec.org/n?u=RePEc:hal:wpaper:halshs-00861901&r=sea |
| By: | Mariam Camarero (Universitat Jaume I de Castelló / Spain); Inmaculada Martínez-Zarzoso (Ibero-America Institute for Economic Research, Goettingen / Germany); Felicitas Nowak-Lehmenn D. (Ibero-America Institute for Economic Research, Goettingen / Germany); Cecilio Tamarit (Universidad de Valencia / Spain) |
| Abstract: | In this article we present evidence of the long-run effect of trade openness on income per worker for two regions that have followed different liberalization strategies, namely Asia and Latin America. A model that re-examines these questions is estimated for two panels of Asian and Latin American countries over the 1980-2008 period using a novel empirical approach that accounts for endogeneity as well as for the time series properties of the variables involved. From an econometric point of view, we apply recent panel cointegration techniques based on factor models that account for two additional elements usually neglected in previous empirical literature: cross-dependence and structural breaks. The results point to a positive impact of trade openness in both Asia and Latin America although the size is smaller in the second region. We associate this finding with the degree to which trade was managed in both regions of the developing world. |
| Keywords: | GDP per worker, trade openness, panel cointegration, structural breaks, crosssection dependence, Asia, Latin America |
| JEL: | F15 F43 C22 O40 |
| Date: | 2013–09–05 |
| URL: | http://d.repec.org/n?u=RePEc:got:iaidps:226&r=sea |
| By: | Jiranyakul, Komain |
| Abstract: | This paper explored the degree of inflation persistence in Thailand using both headline and sectoral CPI indices during the 1985-2012 period. The results showed that the degree of persistence was low across the fixed and floating exchange rate regimes. The mean shifts appeared to be mostly negative by the impact of switching from fixed to floating exchange rate regime. Furthermore, there seemed to be monetary accommodation of inflation persistence in both regimes. However, some negative mean shifts in the inflation process might be resulted from the impact of inflation targeting implemented in May 2000. |
| Keywords: | Inflation persistence, exchange rate regimes, monetary accommodation. |
| JEL: | C22 E31 |
| Date: | 2013–09 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:50109&r=sea |
| By: | Ben Ross Schneider |
| Abstract: | O histórico de sucesso dos Estados desenvolvimentistas na Ásia Oriental e o sucesso parcial de Estados desenvolvimentistas na América Latina sugerem vários pré-requisitos comuns para a intervenção estatal eficaz, incluindo uma burocracia weberiana, o monitoramento da implementação de projetos e reciprocidade (subsídios em troca de desempenho) e relações de colaboração entre governo e empresas. Embora o Brasil não tenha conseguido desenvolver uma indústria de fabricação e exportação de alta tecnologia – segmento que na Ásia Oriental foi responsável por um crescimento continuado –, o Estado desenvolvimentista brasileiro teve um número importante, e muitas vezes negligenciado, de sucessos, especialmente em aço, automóveis, mineração, etanol e fabricação de aeronaves. Ele foi menos bem-sucedido na promoção de setores como tecnologia da informação e energia nuclear, bem como na redução das desigualdades sociais e regionais. Além disso, algumas iniciativas isoladas de governos estaduais também foram eficazes na promoção de determinados segmentos locais da indústria e da agricultura. Em contraste com a Ásia Oriental, as empresas estatais no Brasil tiveram papel central, efetivamente internalizando os procedimentos de acompanhamento e reciprocidade e ignorando a colaboração entre empresas e governo. The historical success of the Asian developmental States and the partial success of developmental States in Latin America suggest numerous common requisites for an efficient State intervention, including a weberian bureaucracy, the monitoring of project implementation and reciprocity (subsidies in exchange of performance), and collaborative relations between government and private companies. Even though Brazil wasn’t able to develop a high technology manufacture and exportation industry – sector that responded for continued growth in East Asia – the Brazilian developmental State had an important number of successes, often neglected, especially in steel, cars, mining, ethanol and aircrafts. Brazil was less successful in the promotion of information technology, nuclear energy and in the reduction of social and regional inequalities governments were also efficient in the promotion of some local industrial and agricultural sectors. In contrast with Asia, Brazilian state-owned enterprises played a central role, effectively internalizing monitoring and reciprocity procedures, and ignoring the cooperation between government and private companies (which was, generally, more rare in Brazil). |
| Date: | 2013–09 |
| URL: | http://d.repec.org/n?u=RePEc:ipe:ipetds:1871&r=sea |