An analysis of East Asian currency area: Bayesian dynamic factor model approach
There has recently been an increasing interest in the establishment of a common currency area in East Asia in the aftermath of the East Asian financial crisis. In this article I examine the desirability and feasibility of forming a currency area in the region by checking the symmetry of shocks as an...
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| Format: | Journal Article |
| Language: | Inglés |
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Informa UK Limited
2010
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| Online Access: | https://hdl.handle.net/10568/2546 |
| _version_ | 1855536224969687040 |
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| author | Toan, N.N. |
| author_browse | Toan, N.N. |
| author_facet | Toan, N.N. |
| author_sort | Toan, N.N. |
| collection | Repository of Agricultural Research Outputs (CGSpace) |
| description | There has recently been an increasing interest in the establishment of a common currency area in East Asia in the aftermath of the East Asian financial crisis. In this article I examine the desirability and feasibility of forming a currency area in the region by checking the symmetry of shocks as an important criterion of the theory of Optimum Currency Area. I employ a dynamic factor model to decompose aggregate output into world, regional and country-specific components and estimate the model using a Gibbs sampling simulation. Persistent properties of those components are examined and variance decomposition analysis is performed to investigate the role of each component in output variance. The European Monetary Union, with the successful launch of the euro, is the natural benchmark for comparison. Based on variance analysis, it is found that East Asian countries, on average, are less plausible candidates for a currency area than European counterparts. However, a subgroup of countries in East Asia is as qualified as those in Europe. Given the ongoing integration in East Asia, it is not premature to prepare for such a currency area in this region. |
| format | Journal Article |
| id | CGSpace2546 |
| institution | CGIAR Consortium |
| language | Inglés |
| publishDate | 2010 |
| publishDateRange | 2010 |
| publishDateSort | 2010 |
| publisher | Informa UK Limited |
| publisherStr | Informa UK Limited |
| record_format | dspace |
| spelling | CGSpace25462023-09-12T07:52:54Z An analysis of East Asian currency area: Bayesian dynamic factor model approach Toan, N.N. There has recently been an increasing interest in the establishment of a common currency area in East Asia in the aftermath of the East Asian financial crisis. In this article I examine the desirability and feasibility of forming a currency area in the region by checking the symmetry of shocks as an important criterion of the theory of Optimum Currency Area. I employ a dynamic factor model to decompose aggregate output into world, regional and country-specific components and estimate the model using a Gibbs sampling simulation. Persistent properties of those components are examined and variance decomposition analysis is performed to investigate the role of each component in output variance. The European Monetary Union, with the successful launch of the euro, is the natural benchmark for comparison. Based on variance analysis, it is found that East Asian countries, on average, are less plausible candidates for a currency area than European counterparts. However, a subgroup of countries in East Asia is as qualified as those in Europe. Given the ongoing integration in East Asia, it is not premature to prepare for such a currency area in this region. 2010-01 2010-11-05T06:32:56Z 2010-11-05T06:32:56Z Journal Article https://hdl.handle.net/10568/2546 en Limited Access Informa UK Limited Toan NN. 2010. An analysis of East Asian currency area: Bayesian dynamic factor model approach. International Review of Applied Economics 24(1): 103-117. |
| spellingShingle | Toan, N.N. An analysis of East Asian currency area: Bayesian dynamic factor model approach |
| title | An analysis of East Asian currency area: Bayesian dynamic factor model approach |
| title_full | An analysis of East Asian currency area: Bayesian dynamic factor model approach |
| title_fullStr | An analysis of East Asian currency area: Bayesian dynamic factor model approach |
| title_full_unstemmed | An analysis of East Asian currency area: Bayesian dynamic factor model approach |
| title_short | An analysis of East Asian currency area: Bayesian dynamic factor model approach |
| title_sort | analysis of east asian currency area bayesian dynamic factor model approach |
| url | https://hdl.handle.net/10568/2546 |
| work_keys_str_mv | AT toannn ananalysisofeastasiancurrencyareabayesiandynamicfactormodelapproach AT toannn analysisofeastasiancurrencyareabayesiandynamicfactormodelapproach |