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Foreign and domestic shocks: macroeconomic responses of ASEAN-3 countries


Shah Zaidi, Mohd Azlan and Abdul Karim, Zulkefly and Wan Ngah, Wan Azman Saini (2013) Foreign and domestic shocks: macroeconomic responses of ASEAN-3 countries. Global Economic Review, 42 (3). pp. 215-237. ISSN 1226-508X; ESSN: 1744-3873


The study provides new empirical evidence on the relative importance of foreign and domestic shocks on selected ASEAN-3 (Malaysia, Indonesia, and Thailand) macroeconomic variables. Three structural vector auto regression models are estimated for each country. The focal point is given on the formulation of the sources of foreign factors. The first model uses trade-weighted foreign variables of both US and Japan to represent the foreign factors. The other two models use US and Japan by themselves, respectively, to represent the foreign factors. Two important results are emerged. First, foreign sectors play an important role in influencing macroeconomic variables of each of the ASEAN-3 country, especially in the medium and the long-run horizon. Second, most of the time, the Japanese factors are more dominant than the US factors in influencing domestic output and inflation for each of the ASEAN-3 countries.

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Additional Metadata

Item Type: Article
Divisions: Faculty of Economics and Management
DOI Number: https://doi.org/10.1080/1226508X.2013.835900
Publisher: Routledge
Keywords: Structural vector autoregressive (SVAR) model; Foreign shocks; Monetary policy
Depositing User: Nabilah Mustapa
Date Deposited: 27 Apr 2015 05:46
Last Modified: 03 Feb 2016 07:13
Altmetrics: http://www.altmetric.com/details.php?domain=psasir.upm.edu.my&doi=10.1080/1226508X.2013.835900
URI: http://psasir.upm.edu.my/id/eprint/28313
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