investigates the effect of macroeconomic linkages on international shock transmissions in selected East Asian countries. Global … Vector Autoregressive model (GVAR) is used on the quarterly data of real output, inflation, equity prices, exchange rates … effects in the same way. On the other hand, result from the dynamic analysis, shows that China contributes highest shock …

statistically significant response to foreign demand shock, while world prices shock has no significant effect. …

This paper employs a Global Vector Auto Regressive (GVAR) model to study the evolution of the response of the …

which combines aspects of factor analysis and GVAR model by replacing the cross-unit averages that serve as foreign … variables in the GVAR model with data driven regional and global factors. The main findings are as follows. First, there is … of US interest rate is taken over by the global financial risk shock. Lastly, we find some evidence that macroeconomic …