- P-ISSN 1738-656X
한국개발연구. Vol. 33, No. 4, December 2011, pp. 27-48
https://doi.org/10.23895/kdijep.2011.33.4.27
This paper investigates the extent of global and regional integration in East Asia using stock price index as a measure of economic performance. We employ a structural VAR model to separate the underlying shocks into “global”, “regional” and “country-specific” shocks. The estimation results show that country-specific shocks still play a dominant role in East Asia although their role appears to have declined over time, especially after the 1997 financial crisis. Global and regional shocks are responsible for small but increasing shares of stock price fluctuations in all countries. The results indicate that the stock markets in East Asia remain dissimilar and are subject to asymmetric shocks in comparison to European countries.
Financial Integration(금융통합), East Asia(동아시아), Europe(유럽), Structural VAR Model(구조적 VAR 모형)
G0, N2