东亚货币一体化的再考察:一个多变量的结构VAR方法

Reinvestigation on the Monetary Integration in East Asia:A Multivariate Structural VAR Approach

本文建立了一个三变量的结构VAR模型,分别从经济冲击的对称性、经济冲击的规模和经济体对潜在经济冲击的调整速度,以及实际有效汇率对各种冲击的响应三个方面,考察了东亚国家和地区组建最适度通货区的经济可行性。实证研究发现,目前东亚经济体并不满足建立一个全面单一的最适度通货区的条件,但是分别在日本和泰国,以及韩国、马来西亚和中国台湾组建子通货区却是可行的。

This paper investigates empirically the feasibility of anoptimum currency area in East Asia.Relying on a three-variable structural VAR model,we analyze the symmetry of various types of shocks,the size of shocks,the speed of adjustment and the response of real effective exchange rates to theseshocks.The analysis suggests that it doesn't satisfy the shocking criterion to create an optimum currency area in the whole region presently.However,it is ideal to create sub-groupings between Japan and Thailand initially,and it also fares well among Korea,Malaysia and Taiwan Province.