Re-examining international spillovers: an Asian perspective
Re-examining international spillovers: an Asian perspective
This study investigates the transmission and the business cycle implications of Chinese export shocks to other Asian economies. Based on a panel vector autoregression (PVAR) model, we provide evidence that a positive export shock originating from China simultaneously stimulates aggregate demands for both China and other Asian economies. The PVAR model takes into account three main sources of potential interactions among ten Asian economies. Simulations from a two-country DSGE model featuring endogenous trade links suggest that positive trade spillover is essential to explain the macroeconomic comovement pattern. Our findings further indicate the importance of the Chinese economy to business cycle synchronization.
DSGE model, Export shock, Panel VAR, Spillover effect
Magkonis, Georgios
64c5579c-4cc4-4ae7-80b2-f5414714955d
Rudkin, Simon
bf5e6eb5-be35-446b-9ce5-9d9bf060861c
Zhang, Shuonan
093a5840-cc2a-4306-9eff-522daca9a79f
17 October 2024
Magkonis, Georgios
64c5579c-4cc4-4ae7-80b2-f5414714955d
Rudkin, Simon
bf5e6eb5-be35-446b-9ce5-9d9bf060861c
Zhang, Shuonan
093a5840-cc2a-4306-9eff-522daca9a79f
Magkonis, Georgios, Rudkin, Simon and Zhang, Shuonan
(2024)
Re-examining international spillovers: an Asian perspective.
International Review of Economics and Finance, 96 (Part B), [103581].
(doi:10.1016/j.iref.2024.103581).
Abstract
This study investigates the transmission and the business cycle implications of Chinese export shocks to other Asian economies. Based on a panel vector autoregression (PVAR) model, we provide evidence that a positive export shock originating from China simultaneously stimulates aggregate demands for both China and other Asian economies. The PVAR model takes into account three main sources of potential interactions among ten Asian economies. Simulations from a two-country DSGE model featuring endogenous trade links suggest that positive trade spillover is essential to explain the macroeconomic comovement pattern. Our findings further indicate the importance of the Chinese economy to business cycle synchronization.
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More information
Accepted/In Press date: 2 September 2024
e-pub ahead of print date: 5 October 2024
Published date: 17 October 2024
Keywords:
DSGE model, Export shock, Panel VAR, Spillover effect
Identifiers
Local EPrints ID: 495954
URI: http://eprints.soton.ac.uk/id/eprint/495954
ISSN: 1059-0560
PURE UUID: ae54d32a-327c-4aa2-9811-66dae3f9d6a8
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Date deposited: 28 Nov 2024 17:32
Last modified: 21 Aug 2025 02:43
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Contributors
Author:
Georgios Magkonis
Author:
Simon Rudkin
Author:
Shuonan Zhang
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