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    South East Asian financial linkages and the changing role of China: insights from a global VAR

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    Publication date
    2015
    Author
    Rudkin, Simon
    Wong, S.M.
    Keyword
    Financial linkages; Global VAR; Equity prices
    Rights
    (c) 2015 The Authors.
    Peer-Reviewed
    Not applicable
    
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    Abstract
    As major financial crises, and the rise of China have shaped the new world order, so it is inevitable that those nations, especially in South East Asia, that once looked west for stability need to reappraise their situation. With the markets so intertwined in events, studying the propagation of equity price shocks within the wider set of macroeconomic variables allows us to say more about how relations are changing, and the likely impacts of any future crash. With data reaching into 2014, this paper is better able to reflect the post global financial crisis period. Using a Global Vector Autoregressive (GVAR) model we analyse these changes and what lies in store for South East Asia, and the ASEAN 4 in particular. Isolating three distinct trade patterns in our weight matrices responses to crises are clearly identifiable, and the opening up of China readily chartable. Indirect effects of China’s rise are highlighted; impacts on the ASEAN 4 being via other nations to date, but direct impact is appearing.
    URI
    http://hdl.handle.net/10454/9455
    Version
    Accepted manuscript
    Citation
    Rudkin S and Wong SM (2015) South East Asian financial linkages and the changing role of China: insights from a global VAR. Munich Personal RePEc Archive Paper. Number 65079.
    Link to publisher’s version
    http://mpra.ub.uni-muenchen.de/65079/
    Type
    Working paper
    Collections
    Management and Law Publications

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