Economic Integration and Business Cycle Synchronization in Asia
Economic Integration and Business Cycle Synchronization in Asia
Economic Integration and Business
Cycle Synchronization in Asia*
Chi Gong
Core Research Center of
Asia Center
Room 515, 建筑 220
Seoul National University
桑 56-1, Sillim-Dong,
Gwanak-Gu,
Seoul 151-746, 韩国
gongchi81@snu.ac.kr
Soyoung Kim
经济系
Seoul National University
桑 56-1, Sillim-Dong,
Gwanak-Gu,
Seoul 151-746, 韩国
soyoungkim@snu.ac.kr
抽象的
This paper examines the effects of internal (or regional) 与. exter-
纳尔 (inter-regional) integration and of trade vs. financial integration
on regional business cycle synchronization in Asia. The empirical
results show the following: (1) similar and strong common exter-
nal linkages have significant positive effects on regional business
cycle synchronization; (2) after controlling for external linkages, 在-
ternal trade integration has a positive effect on regional business
cycle synchronization but internal financial integration has a nega-
tive effect; 和 (3) the measures of external linkages, 特别
the measure of external financial linkages, are more important
than those of internal linkages in explaining regional business
cycle co-movements.
1. 介绍
After the 1997–98 Asian ªnancial crisis (AFC), 内部-
tional linkages in both ªnance and trade have increased
rapidly in Asian countries. On the trade side, reductions in
trade barriers and free trade agreements, 结合
the rise of production sharing networks in emerging Asian
国家, have deepened regional integration. 在 1990, 这
total exports and imports of ASEAN(西德:2)3 countries was
56 percent of their GDP (3.5 percent of world GDP). 这
value increased to 104 percent of their GDP (15.8 百分
* We thank Anwar Nasution, Bokyeong Park, Jiyoun An, Yukiko
Fukagawa, and seminar participants at Seoul National Univer-
sity Annual Conference of Western Economic Association,
A3 Conference on Monetary and Financial Cooperation in the
Region, and the Asian Economic Panel. Financial support from
the Institute for Research in Finance and Economics of the
Seoul National University is also gratefully acknowledged.
Asian Economic Papers 12:1
© 2013 The Earth Institute at Columbia University and the Massachusetts
Institute of Technology
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Economic Integration and Business Cycle Synchronization in Asia
数字 1. Total trade of various regions (percent of world GDP)
来源: 世界银行, World Development Indicators & Global Development Finance.
笔记: 持续的 2000 美元$. of world GDP) 在 2010.1 数字 1 shows the total trade of ASEAN(西德:2)3 countries from 1987 到 2010 in comparison with that of countries in the North American Free Trade Agreement (NAFTA) and the Euro Area. Asia is currently a vital region for world trade, with the total trade of ASEAN(西德:2)3 becoming even larger than that of the Euro and NAFTA areas in recent years. On the ªnance side, capital account liberalization and various forms of regional ªnancial cooperation, such as the Chiang Mai Initiative Multilateralization (CMIM) and the Asian Bond Market Initiative (ABMI), have promoted the international inte- gration of Asian economies. 在 1990, the ratio of total assets and liabilities to GDP of ASEAN(西德:2)3 countries was 122.6 百分 (23.1 percent of world GDP). This value increased to 190.1 百分 (40.9 percent of world GDP) 在 2009. During the same period, the Euro and NAFTA areas recorded greater numbers at 347.05 百分 (74.73 percent of world GDP) 和 267.8 percent of their GDP (74.71 percent of world GDP), 分别. 尽管如此, the ªnancial globalization trend in Asian countries remains strong. Coinciding with the trends of rising trade and ªnancial integration has been an in- crease in business cycle co-movements across the Asian region. Past studies have documented the substantial changes in the business cycle co-movements of Asian countries after the AFC. 尤其, some studies (例如, Moneta and Ruffer 2009; 1 This paper considers nine economies in ASEAN(西德:2)3: 日本, 中国, Republic of Korea, and the six economies (Malaysia, the Philippines, 印度尼西亚, Thailand, 香港, and Singa- 毛孔) of ASEAN. 77 Asian Economic Papers l D o w n o a d e d f r o m h t t p : / / 直接的 . 米特 . / e d u a s e p a r t i c e – 压力 / 的f / / / / / 1 2 1 7 6 1 6 8 8 3 5 4 a s e p _ a _ 0 0 1 8 8 压力 . 来宾来访 0 9 九月 2 0 2 3 Economic Integration and Business Cycle Synchronization in Asia Imbs 2011; Kim and Lee 2012) found that business cycles of Asian countries have be- come more synchronized after the AFC and that these changes in business cycle properties are likely to be related to their economic integration process. The business cycle co-movements of Asian countries have various important impli- cations for the region. Some researchers and policymakers argue that the creation of an Asian monetary union or a common Asian currency unit is crucial for future de- velopment of the region.2 In this regard, business cycle synchronization or business cycle asymmetry of countries in the region is an important criterion to judge the costs and feasibility of Asian monetary integration.3 By investigating the effects of economic integration on regional business cycle co-movements, we may infer the possible effects of current trends of rapid economic integration on regional business cycle co-movements and the potential costs of Asian monetary integration. Even without explicit monetary integration of Asian countries, the magnitude of business cycle synchronization in the region has important implications for macro- economic policy coordination; 尤其, a high degree of business cycle synchro- nization within the region, common policy responses and/or policy cooperation within the region are needed to stabilize economic ºuctuations in the region. This paper investigates how economic integration affects the business cycle synchro- nization of Asian countries. 尤其, we distinguish two types of integration, 即, (1) trade integration vs. ªnancial integration, 和 (2) internal integration (regional integration or integration within Asia) 与. external integration (国际米兰- regional integration or integration of Asian countries with the rest of the world). This paper examines how different types of integration (trade vs. ªnancial and inter- nal vs. external) affect the regional business cycle synchronization of Asian countries. Distinguishing internal economic integration (within Asia) from external economic linkage (with the rest of the world) is important in explaining business cycle syn- chronization within Asia because both internal and external economic linkages can affect regional business cycle synchronization but in a different manner. The size of the effects of internal trade (or ªnancial) integration on regional business cycle may differ from the size of external trade (or ªnancial) linkages. 在这种情况下, the effects of internal and external integration should be estimated separately. 此外, 在- ternal and external integration may affect regional business cycle co-movement in opposite directions. 例如, a similar pattern of ªnancial linkages of Asian 2 例如, see Mundell (2003), Kuroda (2004), and Ogawa and Shimizu (2011). 3 Refer to Mundell (1961). 78 Asian Economic Papers l D o w n o a d e d f r o m h t t p : / / 直接的 . 米特 . / e d u a s e p a r t i c e – 压力 / 的f / / / / / 1 2 1 7 6 1 6 8 8 3 5 4 a s e p _ a _ 0 0 1 8 8 压力 . 来宾来访 0 9 九月 2 0 2 3 Economic Integration and Business Cycle Synchronization in Asia countries and the rest of the world may increase business cycle synchronization of Asian countries. A strong ªnancial integration among Asian countries, 然而, may decrease the business cycle synchronization of Asian countries. 此外, by separately estimating the effects, we can infer which one is more important in ex- plaining business cycle synchronization of Asian countries. 此外, the effects of recent regional integration efforts on business cycle synchronization can be better understood. 例如, we can clearly picture how trade integration within the region, such as free trade agreements (FTAs) among some ASEAN(西德:2)3 countries and Asian ªnancial cooperation such as CMIM and ABMI, has contributed to Asian business cycle synchronization. Based on our empirical results, we also draw some implications on these issues. To estimate the effects of internal and external integra- tion separately, we apply the method developed by Gong and Kim (2012). Although several studies have investigated the effects of economic integration on business cycle synchronization in Asia, these studies have not separated the effects of internal and external integration. Most studies (Rana 2007) concentrated on the effects of internal trade integration on regional business cycle synchronization. A few studies, such as those of Shin and Sohn (2006) and Imbs (2011), did examine the effects of both trade and ªnancial integration. These studies either concentrated only on internal integration or did not distinguish between internal vs. external integration, 然而. The rest of the paper is organized as follows. 部分 2 shows the trends in internal vs. external integration and ªnancial vs. trade integration as well as the business cycle synchronization of Asian countries. 部分 3 explains the empirical methodol- 奥吉. 部分 4 discusses the empirical results. 部分 5 concludes with a summary of results. 2. Trends in economic integration and business cycle synchronization In this section, we brieºy examine trends in internal vs. external integration and trade vs. ªnancial integration, as well as in internal vs. external business cycle co- movements of Asian countries. 2.1 Economic integration Table 1 presents changes in the intra-regional and inter-regional trade relations of Asian countries between 1990 和 2009. The table shows that intra-regional trade among nine Asian economies (“ASEAN(西德:2)3”) increased steadily to 46.1 percent of to- tal trade in 2005 从 37.8 百分比在 1990. This value declined to 44.6 百分 (higher than the share of NAFTA economies but lower than the EU economies) 在 79 Asian Economic Papers l D o w n o a d e d f r o m h t t p : / / 直接的 . 米特 . / e d u a s e p a r t i c e – 压力 / 的f / / / / / 1 2 1 7 6 1 6 8 8 3 5 4 a s e p _ a _ 0 0 1 8 8 压力 . 来宾来访 0 9 九月 2 0 2 3 Economic Integration and Business Cycle Synchronization in Asia 2009, 然而, because of the global ªnancial crisis. If measured by percentage of GDP, intra-East Asian trade reached 25.6 百分比在 2005 和 21.7 百分比在 2009 从 11.1 百分比在 1990, higher than the EU economies and substantially higher than the NAFTA economies. The share of intra-regional trade is also substantial among 13 Asia-Paciªc economies (“ASEAN(西德:2)7”), peaking at 49.4 百分比在 2005 从 41.4 百分比在 1990, and declining only slightly to 49.2 百分比在 2009.4 As a percentage of GDP, intra-regional trade also increased through to 2005 but declined to 22.7 百分比在 2009. This increasing trend in intra-regional trade is observed not only in the entire Asian region, but also in individual Asian countries. 在 2009, the average of intra-regional trade between individual members of ASEAN(西德:2)3 and the whole ASEAN(西德:2)3 已经完了 60 percent of the GDP. This average is approximately 50 percent of GDP for ASEAN(西德:2)7 economies in 2009, reºecting a tight trade linkage among Asian countries. For external or inter-regional trade relations, the share of the G6 economies (G7 countries excluding Japan) in the trade of ASEAN(西德:2)3 has been declining but re- mained substantial at 21.0 百分比在 2009. The share of the G6 economies in the trade of ASEAN(西德:2)7 has also been declining, reaching 20.8 百分比在 2009. This does not necessarily imply that the trade linkages of Asian countries with G6 economies were weaker in the 2000s than in the 1990s, 然而. As a percentage of GDP, the trade of ASEAN(西德:2)3 with G6 was 10.5 百分比在 1990 and remained at 10.2 百分比在 2009. 相似地, the trade of ASEAN(西德:2)7 with G6 was 10.0 百分比在 1990 并重新- mained at 9.6 百分比在 2009. Considering the rapid economic growth of Asian countries, these numbers imply that the actual trade amount with G6 economies in- 有折痕的. As documented by previous studies (ADB 2007; Brooks and Hua 2008; Kim, 李, and Park 2011), a substantial part of intra-regional trade is driven by the trade of intermediate goods among Asian economies, with ªnal production destined for export outside the region. 在此背景下, intra-regional trade dynamics remain sensitive to changes in the external demand of industrialized economies or in the ex- ternal economic linkages with major industrial countries. 桌子 2 provides quantitative measures of ªnancial integration and cross-border holdings of portfolio assets and liabilities, including equity and long- and short- term debt securities. For ASEAN(西德:2)3, total portfolio assets increased from US$ 0.95 trillion in 1997 to US$ 4.86 trillion in 2010, whereas total portfolio liabilities increased from US$ 0.57 trillion in 1997 to US$ 3.07 trillion in 2010. 4 在本文中, ASEAN(西德:2)7 includes the nine ASEAN(西德:2)3 经济体, 印度, 巴基斯坦, 新西兰, and Australia. 80 Asian Economic Papers l D o w n o a d e d f r o m h t t p : / / 直接的 . 米特 . / e d u a s e p a r t i c e – 压力 / 的f / / / / / 1 2 1 7 6 1 6 8 8 3 5 4 a s e p _ a _ 0 0 1 8 8 压力 . 来宾来访 0 9 九月 2 0 2 3 Economic Integration and Business Cycle Synchronization in Asia Table 1. Trade relations of selected economies in Asia A. As percent of Total Trade ASEAN(西德:2)3 ASEAN(西德:2)7 G6 1990 1995 2000 2005 2009 1990 1995 2000 2005 2009 1990 1995 2000 2005 2009 53 香港 56 中国 54 印度尼西亚 24 日本 35 韩国 54 Malaysia 38 菲律宾 44 新加坡 46 Thailand 41 Australia India 18 新西兰 27 27 Pakistan ASEAN(西德:2)3 38 ASEAN(西德:2)7 37 55 54 50 34 41 54 44 51 47 45 23 31 30 45 44 56 48 51 34 40 54 45 50 46 45 22 30 23 44 43 64 40 58 40 45 55 55 52 50 49 26 31 24 46 45 67 35 57 43 44 57 58 52 49 55 27 34 25 45 44 56 58 58 29 38 59 41 49 49 47 21 48 30 42 41 57 57 55 39 45 58 47 55 50 52 25 54 32 49 48 59 50 57 38 43 58 47 54 50 50 24 53 27 48 47 67 44 65 44 49 59 57 58 55 56 29 55 27 50 49 70 40 66 48 49 64 61 58 55 62 30 58 29 50 49 27 25 24 44 39 28 39 30 30 34 35 32 36 36 36 24 27 26 38 32 28 36 27 25 29 34 28 33 31 31 23 29 22 37 30 26 32 25 26 28 30 29 30 30 30 17 28 16 28 22 24 22 20 19 23 25 26 27 24 24 14 26 14 22 17 17 19 17 16 19 19 21 22 21 21 乙. As percent of GDP ASEAN(西德:2)3 ASEAN(西德:2)7 G6 1990 1995 2000 2005 2009 1990 1995 2000 2005 2009 1990 1995 2000 2005 2009 Hong Kong China Indonesia Japan Korea Malaysia Philippines Singapore Thailand Australia India New Zealand Pakistan ASEAN(西德:2)3 ASEAN(西德:2)7 103 18 20 4 17 73 121 30 5 10 2 7 17 11 10 112 25 19 5 19 94 132 37 6 13 4 8 25 14 14 110 22 30 6 25 110 134 50 6 15 4 6 46 17 16 177 27 34 10 29 107 158 64 6 15 7 9 55 26 23 177 16 24 10 36 91 130 53 5 18 9 8 34 22 20 107 19 21 5 19 79 133 31 5 12 3 8 18 12 12 117 26 21 6 21 101 140 39 6 15 5 8 27 15 15 115 23 33 7 27 118 145 54 6 17 5 7 48 19 18 184 29 37 11 32 117 176 70 6 18 8 10 57 28 25 187 18 28 11 40 101 147 60 6 20 10 9 36 24 23 51 8 9 7 19 38 82 19 6 8 5 10 17 11 10 49 12 10 6 15 49 68 20 6 9 6 9 20 10 10 46 13 13 7 18 54 66 28 7 10 6 8 33 12 11 47 19 9 7 14 46 60 25 7 7 7 10 22 14 13 37 12 6 5 14 28 43 17 5 6 7 7 11 10 10 来源: Direction of Trade Statistics, International Monetary Fund. 笔记: Total trade is the average of export and import. GDP uses the current price data. We can also observe a substantial increase in intra-regional portfolio investments. The total recorded level of cross-border portfolio asset and liability holdings among ASEAN(西德:2)3 economies was merely US$ 85.52 and US$ 44.98 十亿, 分别, 在 1997. These values increased to US$ 579.03 and US$ 541.75 十亿, 分别, 在 2010. The proportion of ASEAN(西德:2)3’s assets invested in ASEAN(西德:2)3 构成 9.0 percent of the total holdings of ASEAN(西德:2)3 在 1997, but decreased to 5.7 百分比在 2001, which could be partly attributed to the AFC; the value increased to 11.9 每- 分在 2010. In comparison, the proportion of their assets invested in G6 declined from 62.0 百分比在 1997 到 46.6 百分比在 2010. For liabilities, we can see an even sharper increase in the proportion of intra-regional portfolio investments. The pro- portion of intra-regional portfolio investment in liabilities increased from 7.9 百分 81 Asian Economic Papers l D o w n o a d e d f r o m h t t p : / / 直接的 . 米特 . / e d u a s e p a r t i c e – 压力 / 的f / / / / / 1 2 1 7 6 1 6 8 8 3 5 4 a s e p _ a _ 0 0 1 8 8 压力 . 来宾来访 0 9 九月 2 0 2 3 Economic Integration and Business Cycle Synchronization in Asia Table 2. Total portfolio investment in Asia A. (US$ billion)
Year Economy
1997 中国
香港
印度尼西亚
日本
韩国
Malaysia
菲律宾
新加坡
Thailand
澳大利亚
新西兰
巴基斯坦
印度
ASEAN(西德:2)3
As percent
of total
ASEAN(西德:2)7
As percent
of total
2001 中国
香港
印度尼西亚
日本
韩国
Malaysia
菲律宾
新加坡
Thailand
澳大利亚
新西兰
巴基斯坦
印度
ASEAN(西德:2)3
As percent
of total
ASEAN(西德:2)7
As percent
of total
2010 中国
香港
印度尼西亚
日本
韩国
Malaysia
菲律宾
新加坡
Thailand
澳大利亚
新西兰
巴基斯坦
印度
ASEAN(西德:2)3
As percent
of total
ASEAN(西德:2)7
As percent
of total
Assets in
ASEAN(西德:2)3 ASEAN(西德:2)7 G6
Liabilities from
TOTAL ASEAN(西德:2)3 ASEAN(西德:2)7 G6
TOTAL
3.0
37.5
0.2
29.1
4.4
0.9
0.0
10.4
0.1
5.5
0.7
0.0
1.6
85.5
9.0%
93.3
9.4%
6.9
30.3
0.2
21.1
1.7
0.8
0.1
31.3
0.3
8.1
0.8
0.0
0.1
92.5
3.0
46.9
0.2
63.2
4.6
1.1
0.0
11.4
0.1
6.1
1.7
0.0
1.6
130.5
13.8%
139.9
14.1%
6.9
48.8
0.2
42.9
1.8
0.8
0.1
42.4
0.3
9.0
2.5
0.0
0.1
144.2
5.7%
8.9%
. . .
. . .
0.1
573.6
2.8
0.5
0.0
9.4
0.1
29.5
4.1
. . .
. . .
1.1
906.7
13.5
1.8
. . .
22.8
0.3
41.5
6.5
. . .
. . .
586.5
62.0% 100.0%
. . .
. . .
946.1
5.3
10.2
2.3
1.2
8.5
10.4
1.5
2.7
2.9
30.6
2.9
0.0
2.1
45.0
7.9%
620.0
994.1
62.4% 100.0% 11.2%
80.6
. . .
82.9
0.4
832.2
4.5
0.7
1.9
46.2
0.4
59.6
8.1
. . .
205.6
0.7
1,289.8
8.0
2.3
2.1
105.2
0.8
79.4
12.4
. . .
. . .
1,614.6
11.7
11.6
1.2
20.0
14.2
12.3
4.2
5.7
4.8
45.7
5.3
0.0
0.8
85.6
. . .
. . .
969.1
60.0% 100.0% 10.2%
5.3
11.1
2.4
5.7
8.7
10.5
1.6
2.9
2.9
31.6
3.4
0.0
2.1
51.2
9.0%
88.4
12.3%
11.7
13.9
1.2
25.3
14.6
12.4
4.2
6.5
4.8
47.3
6.2
0.0
0.8
94.5
11.3%
101.5
5.9%
155.7
9.1%
1,036.8
1,706.4
137.3
60.8% 100.0% 13.2%
148.8
14.3%
37.3
258.8
1.2
79.8
25.8
17.5
1.1
144.4
13.3
44.5
1.6
0.0
0.2
579.0
37.4
305.2
1.3
230.1
31.4
18.5
1.1
194.2
15.0
54.0
19.2
0.0
0.3
834.2
. . .
216.0
1.4
1,839.8
51.3
10.1
2.6
140.5
3.6
298.2
15.7
0.0
0.7
2,265.3
. . .
928.9
6.5
3,345.8
116.7
35.9
5.9
398.8
23.0
468.0
47.8
0.2
1.6
4,861.4
253.7
43.0
25.4
55.3
78.3
28.7
9.2
37.1
11.1
198.7
7.1
0.1
49.3
541.8
256.3
50.4
26.3
77.5
82.7
29.7
12.3
40.5
12.4
216.4
13.3
0.1
52.6
588.1
8.7
56.4
6.5
305.0
22.1
13.3
9.5
16.8
7.9
73.3
12.8
1.8
11.5
446.2
78.8%
545.7
76.1%
6.0
59.5
3.0
346.6
52.1
7.5
5.6
38.1
5.4
88.7
7.8
0.2
10.5
523.8
62.4%
631.1
60.5%
154.1
192.1
46.1
812.4
230.9
46.9
21.5
89.0
33.0
483.5
24.4
1.5
130.8
1,625.9
11.9%
17.2%
46.6% 100.0% 17.6%
19.2%
53.0%
625.4
11.6%
907.8
16.9%
2,579. 9
5,379.0
796.9
48.0% 100.0% 18.0%
870.4
19.7%
2,266.1
51.2%
14.8
74.1
9.8
365.0
32.7
25.1
11.7
21.5
11.5
116.3
17.7
1.9
14.8
566.2
100.0%
716.8
100.0%
20.3
96.7
5.6
542.3
76.8
22.6
12.8
50.7
12.0
170.0
18.3
0.5
15.4
839.6
100.0%
1,043.8
100.0%
498.2
320.8
101.9
1,348.2
407.8
105.8
46.5
172.2
68.8
931.5
44.7
4.6
376.5
3,070.1
100.0%
4,427.4
100.0%
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来源: Coordinated Portfolio Investment Survey (CPIS), International Monetary Fund.
China’s asset data are calculated by the counter data (the liabilities data) from IMF; Hong Kong’s 1997, India’s 1997 和 2001, 和
Pakistan’s 1997 和 2001 are also calculated by the counter data from IMF.
笔记: (. . .) (西德:3) no data available.
82
Asian Economic Papers
Economic Integration and Business Cycle Synchronization in Asia
桌子 2. (Continued)
乙. (As percent GDP)
Year Economy
Assets in
ASEAN(西德:2)3 ASEAN(西德:2)7 G6
Liabilities from
TOTAL ASEAN(西德:2)3 ASEAN(西德:2)7 G6
TOTAL
1997
2001
2010
中国
香港
印度尼西亚
日本
韩国
Malaysia
菲律宾
新加坡
Thailand
澳大利亚
新西兰
巴基斯坦
印度
ASEAN(西德:2)3
ASEAN(西德:2)7
中国
香港
印度尼西亚
日本
韩国
Malaysia
菲律宾
新加坡
Thailand
澳大利亚
新西兰
巴基斯坦
印度
ASEAN(西德:2)3
ASEAN(西德:2)7
中国
香港
印度尼西亚
日本
韩国
Malaysia
菲律宾
新加坡
Thailand
澳大利亚
新西兰
巴基斯坦
印度
ASEAN(西德:2)3
ASEAN(西德:2)7
0.1
23.2
0.0
1.0
0.7
0.5
0.0
9.2
0.0
1.2
1.0
0.0
0.1
1.8
1.8
0.2
16.7
0.0
0.6
0.2
0.4
0.1
23.2
0.1
1.5
1.1
0.0
0.0
1.6
1.6
0.4
79.1
0.1
1.8
1.8
4.2
0.3
49.3
2.3
5.0
1.4
0.0
0.0
6.6
4.4
0.1
29.1
0.0
2.1
0.7
0.6
0.0
10.2
0.0
1.4
2.6
0.0
0.1
2.7
2.6
0.2
27.0
0.0
1.3
0.2
0.4
0.1
31.4
0.1
1.6
3.1
0.0
0.0
2.5
2.5
0.4
93.3
0.1
5.3
2.1
4.4
0.3
66.3
2.6
6.1
16.2
0.0
0.0
9.5
6.3
. . .
. . .
0.0
18.8
0.4
0.3
. . .
8.3
0.0
6.6
6.1
. . .
. . .
12.2
11.6
. . .
45.8
0.1
25.3
0.6
0.3
1.0
34.2
0.1
10.8
10.2
. . .
. . .
17.0
16.4
. . .
66.0
0.1
42.6
3.5
2.4
0.7
48.0
0.6
33.7
13.3
0.0
0.0
25.7
18.0
. . .
. . .
0.2
29.8
2.1
0.9
. . .
20.3
0.1
9.3
9.7
. . .
. . .
19.6
18.6
. . .
113.5
0.1
39.2
1.0
1.0
1.1
78.0
0.3
14.3
15.6
. . .
. . .
28.3
26.9
. . .
283.9
0.6
77.4
8.0
8.6
1.6
136.2
3.9
53.0
40.3
0.0
0.0
55.1
37.5
0.2
6.3
0.5
0.0
1.3
5.5
0.9
2.4
1.0
6.9
4.4
0.0
0.2
0.6
0.9
0.4
6.4
0.2
0.6
1.7
5.6
2.1
4.2
1.5
8.2
6.7
0.0
0.1
1.0
1.2
2.5
13.2
2.5
1.3
5.3
6.9
2.5
12.7
1.9
22.5
6.0
0.0
1.2
2.9
3.3
0.2
6.9
0.5
0.2
1.3
5.5
0.9
2.6
1.0
7.1
5.1
0.0
0.2
0.7
0.9
0.4
7.7
0.2
0.8
1.8
5.6
2.1
4.8
1.5
8.5
7.7
0.0
0.1
1.0
1.3
2.5
15.4
2.6
1.8
5.6
7.1
3.4
13.8
2.1
24.5
11.3
0.0
1.3
3.1
3.6
0.4
34.9
1.3
10.0
3.4
7.0
5.7
15.0
2.6
16.5
19.2
0.9
0.9
6.0
5.8
0.2
32.8
0.6
10.5
6.3
3.4
2.9
28.3
1.7
16.0
9.8
0.1
0.6
5.8
5.4
1.5
58.7
4.5
18.8
15.8
11.3
5.8
30.4
5.6
54.7
20.6
0.3
3.2
8.6
9.3
0.7
45.9
1.9
12.0
5.0
13.2
7.0
19.2
3.8
26.2
26.6
0.9
1.2
7.6
7.6
0.6
53.4
1.0
16.5
9.3
10.3
6.5
37.6
3.7
30.7
23.0
0.2
0.9
9.3
9.0
4.9
98.0
9.9
31.2
27.8
25.4
12.6
58.8
11.7
105.4
37.8
1.0
9.3
16.2
18.1
来源: Coordinated Portfolio Investment Survey (CPIS), International Monetary Fund.
China’s asset data are calculated by the counter data (the liabilities data) from IMF; Hong Kong’s 1997, India’s 1997 和 2001, 和
Pakistan’s 1997 和 2001 are also calculated by the counter data from IMF.
笔记: (. . .) (西德:3) no data available.
在 1997 到 17.6 百分比在 2010. As in the case of trade relations, these results do
not imply that the ªnancial linkage with the G6 has decreased in recent years. 作为
如表所示 2, the actual size of cross-border assets between Asian countries and
the United States increased substantially, in line with ongoing ªnancial globalization
世界各地.
83
Asian Economic Papers
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Economic Integration and Business Cycle Synchronization in Asia
2.2 Business cycle co-movements
As in many previous studies, we use the contemporaneous bilateral correlation
coefªcient of (the log of) cyclical real GDP of two countries to describe their busi-
ness cycle co-movements. To obtain the trend of real GDP, an HP ªlter5 is applied.
To obtain the cyclical real GDP, the trend real GDP is subtracted from the real GDP.
Annual data are used for 1990–2009.6
桌子 3 presents the correlation coefªcients of cyclical real GDP for pairs of 13 亚洲-
Paciªc countries as well as the correlation coefªcients of cyclical real GDP for
13 Asia-Paciªc countries and G-6 countries. The business cycle co-movements of
Asian countries are higher in the 2000s than in the 1990s, and the bilateral correla-
tion among Asian countries increased in most cases. As depicted by the average
数字 (Avg.), business cycle co-movements increased in six out of nine countries
in ASEAN(西德:2)3 and in ten out of 13 countries in ASEAN(西德:2)7. 此外, the business
cycle synchronization of Asian countries with the United States and G6 also in-
有折痕的. 平均而言, the correlation of ASEAN(西德:2)3 with the United States increased
from –0.03 to 0.50, and the correlation with G6 increased from –0.23 to 0.69. 更多的-
超过, the correlation of ASEAN(西德:2)7 with the United States increased from –0.02 to
0.49, and the correlation with G6 increased from –0.01 to 0.65.
The increase in the business cycle co-movements of Asian countries may be related
to a higher degree of trade and ªnancial integration within Asian economies as doc-
umented in the previous section. This increase may also be related to a higher busi-
ness cycle co-movement of Asian countries with advanced countries (桌子 3), 如何-
曾经. This phenomenon in turn could be related to more similar and stronger
economic linkages between Asian countries and advanced countries, possibly with
stronger shocks in advanced countries. In the next section, we formally examine the
effects of internal vs. external integration and trade vs. ªnancial integration on busi-
ness cycle co-movements of Asian countries.
3. Empirical method
3.1 Empirical model
Previous studies have used the following type of regression to analyze the effects of
trade and ªnancial integration on business cycle synchronization (IE。, Imbs 2004,
2006, 2011; Dées and Zorell 2011).
5 The Hodrick–Prescott (1980) ªlter is a mathematical tool used in macroeconomics, 尤其
in real business cycle theory to extract the cyclical component of a time series from the
raw data.
6 Real GDP is measured in local units for all cases except for G6 aggregate, where real GDP in
purchasing power parity is used.
84
Asian Economic Papers
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Economic Integration and Business Cycle Synchronization in Asia
桌子 3. Correlation of output in Asia
A. 1990–1999
PAK INA US G6
HK CHN INO JPN KOR MAL PHI SIN THA AU NZ
(西德:6)1.00 (西德:6)0.27 (西德:6)0.92 (西德:6)0.67 (西德:6)0.72 (西德:6)0.87 (西德:6)0.08 (西德:6)0.71 (西德:6)0.91 (西德:6)0.61 (西德:6)0.20 (西德:6)0.14 (西德:6)0.60 (西德:6)0.70 (西德:6)0.73
HK
CHN (西德:6)0.27 (西德:6)1.00 (西德:6)0.09 (西德:6)0.31 (西德:6)0.02 (西德:6)0.05 (西德:6)0.78 (西德:6)0.44 (西德:6)0.20 (西德:6)0.90 (西德:6)0.81 (西德:6)0.24 (西德:6)0.82 (西德:6)0.78 (西德:6)0.66
INO (西德:6)0.92 (西德:6)0.09 (西德:6)1.00 (西德:6)0.81 (西德:6)0.83 (西德:6)0.98 (西德:6)0.21 (西德:6)0.81 (西德:6)0.93 (西德:6)0.47 (西德:6)0.39 (西德:6)0.28 (西德:6)0.35 (西德:6)0.61 (西德:6)0.60
JPN (西德:6)0.67 (西德:6)0.31 (西德:6)0.81 (西德:6)1.00 (西德:6)0.67 (西德:6)0.78 (西德:6)0.25 (西德:6)0.47 (西德:6)0.63 (西德:6)0.52 (西德:6)0.04 (西德:6)0.46 (西德:6)0.30 (西德:6)0.59 (西德:6)0.44
KOR (西德:6)0.72 (西德:6)0.02 (西德:6)0.83 (西德:6)0.67 (西德:6)1.00 (西德:6)0.89 (西德:6)0.37 (西德:6)0.77 (西德:6)0.80 (西德:6)0.26 (西德:6)0.52 (西德:6)0.30 (西德:6)0.04 (西德:6)0.35 (西德:6)0.24
MAL (西德:6)0.87 (西德:6)0.05 (西德:6)0.98 (西德:6)0.78 (西德:6)0.89 (西德:6)1.00 (西德:6)0.36 (西德:6)0.87 (西德:6)0.89 (西德:6)0.32 (西德:6)0.52 (西德:6)0.27 (西德:6)0.18 (西德:6)0.46 (西德:6)0.44
PHI (西德:6)0.08 (西德:6)0.78 (西德:6)0.21 (西德:6)0.25 (西德:6)0.37 (西德:6)0.36 (西德:6)1.00 (西德:6)0.57 (西德:6)0.03 (西德:6)0.68 (西德:6)0.75 (西德:6)0.01 (西德:6)0.78 (西德:6)0.56 (西德:6)0.61
SIN (西德:6)0.71 (西德:6)0.44 (西德:6)0.81 (西德:6)0.47 (西德:6)0.77 (西德:6)0.87 (西德:6)0.57 (西德:6)1.00 (西德:6)0.70 (西德:6)0.08 (西德:6)0.80 (西德:6)0.10 (西德:6)0.08 (西德:6)0.10 (西德:6)0.15
THA (西德:6)0.91 (西德:6)0.20 (西德:6)0.93 (西德:6)0.63 (西德:6)0.80 (西德:6)0.89 (西德:6)0.03 (西德:6)0.70 (西德:6)1.00 (西德:6)0.57 (西德:6)0.35 (西德:6)0.30 (西德:6)0.45 (西德:6)0.71 (西德:6)0.71
Avg1 (西德:6)0.56 (西德:6)0.05 (西德:6)0.68 (西德:6)0.50 (西德:6)0.63 (西德:6)0.71 (西德:6)0.30 (西德:6)0.67 (西德:6)0.58 (西德:6)0.12 (西德:6)0.49 (西德:6)0.16 (西德:6)0.03 (西德:6)0.24 (西德:6)0.23
(西德:6)0.61 (西德:6)0.90 (西德:6)0.47 (西德:6)0.52 (西德:6)0.26 (西德:6)0.32 (西德:6)0.68 (西德:6)0.08 (西德:6)0.57 (西德:6)1.00 (西德:6)0.56 (西德:6)0.29 (西德:6)0.91 (西德:6)0.96 (西德:6)0.88
AU
(西德:6)0.20 (西德:6)0.81 (西德:6)0.39 (西德:6)0.04 (西德:6)0.52 (西德:6)0.52 (西德:6)0.75 (西德:6)0.80 (西德:6)0.35 (西德:6)0.56 (西德:6)1.00 (西德:6)0.13 (西德:6)0.59 (西德:6)0.36 (西德:6)0.29
NZ
PAK (西德:6)0.14 (西德:6)0.24 (西德:6)0.28 (西德:6)0.46 (西德:6)0.30 (西德:6)0.27 (西德:6)0.01 (西德:6)0.10 (西德:6)0.30 (西德:6)0.29 (西德:6)0.13 (西德:6)1.00 (西德:6)0.00 (西德:6)0.25 (西德:6)0.16
INA (西德:6)0.60 (西德:6)0.82 (西德:6)0.35 (西德:6)0.30 (西德:6)0.04 (西德:6)0.18 (西德:6)0.78 (西德:6)0.08 (西德:6)0.45 (西德:6)0.91 (西德:6)0.59 (西德:6)0.00 (西德:6)1.00 (西德:6)0.86 (西德:6)0.88
Avg2 (西德:6)0.30 (西德:6)0.23 (西德:6)0.44 (西德:6)0.30 (西德:6)0.47 (西德:6)0.50 (西德:6)0.39 (西德:6)0.52 (西德:6)0.36 (西德:6)0.01 (西德:6)0.45 (西德:6)0.08 (西德:6)0.11 (西德:6)0.02 (西德:6)0.01
乙. 2000–2009
HK CHN INO JPN KOR MAL PHI
1.00 (西德:6)0.51 (西德:6)0.49 (西德:6)0.75 (西德:6)0.52
HK
CHN 0.51 (西德:6)1.00 (西德:6)0.98 (西德:6)0.12 (西德:6)0.11
INO 0.49 (西德:6)0.98 (西德:6)1.00 (西德:6)0.15 (西德:6)0.14
JPN 0.75 (西德:6)0.12 (西德:6)0.15 (西德:6)1.00 (西德:6)0.79
KOR 0.52 (西德:6)0.11 (西德:6)0.14 (西德:6)0.79 (西德:6)1.00
MAL 0.91 (西德:6)0.47 (西德:6)0.47 (西德:6)0.73 (西德:6)0.56
0.93 (西德:6)0.70 (西德:6)0.69 (西德:6)0.57 (西德:6)0.37
PHI
SIN 0.97 (西德:6)0.61 (西德:6)0.57 (西德:6)0.66 (西德:6)0.50
THA 0.71 (西德:6)0.11 (西德:6)0.13 (西德:6)0.94 (西德:6)0.69
0.72 (西德:6)0.37 (西德:6)0.35 (西德:6)0.52 (西德:6)0.40
Avg1
0.65 (西德:6)0.22 (西德:6)0.23 (西德:6)0.71 (西德:6)0.71
AU
0.20 (西德:6)0.68 (西德:6)0.70 (西德:6)0.75 (西德:6)0.59
NZ
PAK 0.95 (西德:6)0.70 (西德:6)0.68 (西德:6)0.52 (西德:6)0.28
INA 0.64 (西德:6)0.98 (西德:6)0.96 (西德:6)0.01 (西德:6)0.04
0.69 (西德:6)0.35 (西德:6)0.33 (西德:6)0.51 (西德:6)0.39
Avg2
(西德:6)0.93 0.97
(西德:6)0.70 0.61
(西德:6)0.69 0.57
(西德:6)0.57 0.66
(西德:6)0.37 0.50
(西德:6)0.93 0.92
(西德:6)1.00 0.95
(西德:6)0.95 1.00
(西德:6)0.59 0.67
(西德:6)0.72 0.73
(西德:6)0.72 0.68
(西德:6)0.01 0.12
(西德:6)0.93 0.95
(西德:6)0.78 0.72
(西德:6)0.68 0.69
SIN THA AU NZ
(西德:6)0.71 0.65
(西德:6)0.11 0.22
(西德:6)0.13 0.23
(西德:6)0.94 0.71
(西德:6)0.69 0.71
(西德:6)0.80 0.81
(西德:6)0.59 0.72
(西德:6)0.67 0.68
(西德:6)1.00 0.74
(西德:6)0.52 0.61
(西德:6)0.74 1.00
(西德:6)0.77 0.45
(西德:6)0.51 0.53
(西德:6)0.02 0.27
(西德:6)0.52 0.56
G6
PAK INA US
(西德:6)0.20 (西德:6)0.95 (西德:6)0.64 (西德:6)0.68 0.91
(西德:6)0.68 (西德:6)0.70 (西德:6)0.98 (西德:6)0.24 0.18
(西德:6)0.70 (西德:6)0.68 (西德:6)0.96 (西德:6)0.28 0.14
(西德:6)0.75 (西德:6)0.52 (西德:6)0.01 (西德:6)0.98 0.94
(西德:6)0.59 (西德:6)0.28 (西德:6)0.04 (西德:6)0.74 0.74
(西德:6)0.27 (西德:6)0.84 (西德:6)0.57 (西德:6)0.66 0.83
(西德:6)0.01 (西德:6)0.93 (西德:6)0.78 (西德:6)0.46 0.75
(西德:6)0.12 (西德:6)0.95 (西德:6)0.72 (西德:6)0.59 0.83
(西德:6)0.77 (西德:6)0.51 (西德:6)0.02 (西德:6)0.94 0.85
(西德:6)0.15 (西德:6)0.71 (西德:6)0.52 (西德:6)0.50 0.69
(西德:6)0.45 (西德:6)0.53 (西德:6)0.27 (西德:6)0.61 0.69
(西德:6)1.00 (西德:6)0.04 (西德:6)0.58 (西德:6)0.83 0.50
(西德:6)0.04 (西德:6)1.00 (西德:6)0.81 (西德:6)0.45 0.74
(西德:6)0.58 (西德:6)0.81 (西德:6)1.00 (西德:6)0.10 0.32
(西德:6)0.10 (西德:6)0.64 (西德:6)0.43 (西德:6)0.49 0.65
0.91
0.47
0.47
0.73
0.56
1.00
0.93
0.92
0.80
0.72
0.81
0.27
0.84
0.57
0.69
来源: Bloomberg, CEIC, International Financial Statistics (International Monetary Fund), and national sources.
笔记: The ªgures present the bilateral BCS as described in the paper. Average is the simple average of correlations among the nine East
Asian economies (excluding own economy). 澳大利亚 (AU); People’s Republic of China (CHN); 香港, 中国 (HK); 印度 (INA);
印度尼西亚 (INO); 日本 (JPN); the Republic of Korea (KOR); Malaysia (MAL); 新西兰 (NZ); 巴基斯坦 (PAK); 菲律宾
(PHI); 新加坡 (SIN); Thailand (THA).
(西德:4)
ij
(西德:3) (西德:5)
0
(西德:2) (西德:5)
1Tij
(西德:2)
2Fij
(西德:2) ε
ij,
(1)
在哪里 (西德:4)
ij is the correlation between the cyclical components of real GDP of countries
i and j, Tij is the intensity of bilateral goods trade between countries i and j, and Fij is
the intensity of bilateral asset trade between countries i and j. (西德:5)
impacts of trade and ªnancial integration on business cycle synchronization.
2 show the
1 和 (西德:5)
In addition to economic integration among Asian countries, economic linkages be-
tween Asian countries and the rest of the world can contribute to business cycle co-
movements of Asian countries. 例如, structural shocks in the United States
can affect both Korea and Thailand in a similar manner, as Korea and Thailand have
similar and strong common economic linkages with the United States. To consider
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Economic Integration and Business Cycle Synchronization in Asia
such effects based on economic relations with countries outside the region, two vari-
ables are added to equation (1) as follows:
(西德:4)
ij
(西德:3) (西德:5)
0
(西德:2) (西德:5)
1Tij
(西德:2)
(西德:2)
2Fij
3EXTij
(西德:2)
4EXFij
(西德:2) ε
ij,
(2)
where EXT and EXF are the variables that show the external trade and ªnancial
linkages, 分别, that generate business cycle synchronization between coun-
tries i and j. The measures show how strong and similar the external linkages of
countries i and j are to that of countries outside the region.
We also consider the following system of equations in which interactions among
various types of economic integration are allowed.
(西德:4)
ij
(西德:3) (西德:5)
0
(西德:2) (西德:5)
1Tij
(西德:2)
(西德:2)
2Fij
3EXTij
(西德:2)
4EXFij
(西德:2) ε
1 ,
ij
(3)
Tij
(西德:3) (西德:7)
0
(西德:2)
1Fij
(西德:2) (西德:7)
2I T
ij
(西德:2) (西德:7)
3EXTij
(西德:2) (西德:7)
4EXFij
(西德:2) ε
2 ,
ij
Fij
(西德:6) (西德:8)
0
(西德:2) (西德:8)
1Tij
(西德:2) (西德:8)
2I F
ij
(西德:2) (西德:8)
3EXTij
(西德:2) (西德:8)
4EXFij
(西德:2) ε
3 ,
ij
ij and I F
ij are instruments that affect bilateral trade and ªnance intensities be-
where I T
tween country i and j, 分别. 在这个系统中, interactions among internal
ªnancial and trade integration are allowed. Internal trade integration can have both
direct ((西德:5)
2) effect by affecting internal ªnancial integration. Simi-
larly, internal ªnancial integration can have both direct ((西德:5)
by affecting internal trade integration. 此外, two measures of external link-
ages are allowed to affect the measures of internal integration.
2) and indirect ((西德:7)
1) and indirect ((西德:8)
1) 影响
(西德:5)
(西德:5)
1
1
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Equations (1), (2), 和 (3) are estimated by ordinary least squares. Equation system
(4) (next section) is estimated by three-stage least squares. More detailed explana-
tions on the empirical model are found in Gong and Kim (2012).
3.2 Measurement and data
To measure the degree of trade integration, the following measure of trade intensity
between countries i and j (Ti,j) is constructed.
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Ti,j
(西德:3) 1
2时间
∑
(
X
我
,
t
+
)
瓦
M Y
j t
j t
t
我
,
,
,
∗
Y Y
i t
,
j t
,
,
(4)
where Xi,j,t is the amount of country i’s export to country j at time t; 米,j,t is the
W is the world GDP at time t;
amount of country i’s import from country j at time t; Yt
and Yi,t is country i’s GDP at time t. This measure is traces to Deardorff’s (1998) 这-
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Economic Integration and Business Cycle Synchronization in Asia
oretical work based on the gravity model, and has been used in several studies in-
cluding Imbs (2006). The measure depends on trade barriers and not on country
尺寸. This property is particularly useful in our case because Asian countries in our
sample are quite diversiªed in terms of their sizes but we would like to use the
measure that properly captures the extent of trade integration, independent of the
country size.7 Deardorff (1998) shows that the measure equals one if preferences are
homothetic and if trade barriers are nonexistent.
To properly capture the size of ªnancial integration, independent of the country
尺寸, a similar measure between countries i and j is constructed for ªnancial inte-
gration.8 The measure for ªnancial integration between countries i and j (Fi,j) 是
给出的:
Fi,j
(西德:3) 1
2时间
∑
(
我
我
,
t
+
我
j t
j t
我
,
,
,
∗
Y Y
i t
,
j t
,
瓦
是
)
t
,
(5)
where Ii,j,t is the amount of portfolio investment from country i to country j at time t.
To measure the degree of ªnancial integration, past studies often used portfolio in-
vestment data. In our case, we also used the bilateral portfolio investment data.9
The measure of external trade linkages that affects business cycle synchronization
between countries i and j (EXTij) is constructed as follows:
EXTij
(西德:9) S k = 1
6 wk{MAXT (西德:6) |Ti,k
(西德:6) Tj,k|}min{Ti,k, Tj,k},
(6)
(西德:6) Tj,k|} in equation (6) shows the similarity in trade integration of countries i
where wk is the relative weight of G6 countries based on real GDP, and MAXT
is the largest value among Ti,j and Ti,k for all i, j, and k. The ªrst term {MAXT (西德:6)
|Ti,k
and k with that of countries j and k. |Ti,k
trade integration of countries i and k and that of j and k. By subtracting from the
largest possible value of T in the sample, the ªrst term {MAXT (西德:6) |Ti,k
shows the similarity. The second term (min{Ti,k, Tj,k}) in equation (6) shows the com-
mon part of the trade integration of countries i and k and that of countries j and k.
The second term shows the strength of the common part of the trade integration of
countries i and k and that of countries j and k.
(西德:6) Tj,k| measures the difference between the
(西德:6) Tj,k|}
7 Other things being equal, a larger country is likely to trade more.
8 Previous studies suggested that the gravity model can also explain international transac-
tions in ªnancial assets (IE。, Portes and Rey 2001).
9 The asset data of China are calculated by the counter party’s (liability) data throughout the
sample period. The same method is used for the asset data of the following countries: 洪
孔 (1997), 印度 (1997, 2001, 2002, 2003), and Pakistan (1997, 2001).
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Economic Integration and Business Cycle Synchronization in Asia
The rationale behind this measure is that if two countries in a region (例如, Korea and
Thailand in Asia) have similar and strong common external trade integration with
countries outside the region (例如, G6), the business cycle co-movement between Ko-
rea and Thailand is likely to be high. The ªrst term naturally shows the similarity of
Korea and Thailand’s external trade linkages. The second term shows the strength
of the common external trade linkages of Korea and Thailand. Trade intensities of
Korea and Thailand with the G6 (Tik and Tjk) show the strength of the external trade
linkages of Korea and Thailand. The business cycle correlation of Korea and Thai-
land is likely to be generated only to the extent that they have the common part,
然而. 所以, the minimum of external trade intensities of two countries
is used.
The measure of external ªnancial linkages that affects business cycle synchroniza-
tion between countries i and j (EXTij) is constructed in a similar manner.
EXFij
(西德:9) S k = 1
6 wk{MAXF (西德:6) |Fi,k
(西德:6) Fj,k|}min{Fi,k, Fj,k},
(7)
(西德:6) Fj,k|} shows the difference between the ªnancial integration of
where MAXF is the largest value between Fi,j and Fi,k for all i, j, and k. The ªrst term
{MAXF (西德:6) |Fi,k
countries i and k and that of j and k. The second term (min{Fi,k, Fj,k}) shows the
strength of the common part of the ªnancial integration of countries i and k and that
of j and k.
Note that these measures for external linkages are different by nature from the mea-
sures for internal integration. The measures for internal integration simply show
how intensive trade and ªnancial integration are between countries i and j, 然而
the measures for external linkages show how strong and similar the external inte-
gration of country i and countries outside the region is to that of country j and coun-
tries outside the region (see Gong and Kim 2012 欲了解详情).
Following previous empirical studies, we include the geographic distance of the
capital cities of two countries, whether a border exists between two countries, 和
whether a common ofªcial language is used in both countries as instruments for the
trade equation. These three instruments are usually argued as clearly exogenous
with high predictive power when analyzing the determinants of bilateral trade. 为了
the ªnance equation, two instruments are used: the sum of two countries’ per capita
real GDP and the difference between the per capita real GDP of the two countries.
The combined income level may affect the degree of ªnancial integration because
ªnancial markets and technologies are better developed in high-income countries,
and ªnancial integration between high-income countries may be easier. On the con-
88
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Economic Integration and Business Cycle Synchronization in Asia
trary, a large difference in the level of income may make ªnancial integration
more difªcult.
We consider the following group of countries. 第一的, we consider nine countries in
ASEAN(西德:2)3, as policy cooperation such as CMIM and ABMI has been discussed
among this group of countries. 第二, we consider “ASEAN(西德:2)7” by adding four
国家 (印度, 巴基斯坦, 新西兰, and Australia) to ASEAN(西德:2)3 because pol-
icy debates often include these four countries as potential candidates for extended
policy cooperation in the Asia-Paciªc area.
For the measure of business cycle correlation, we calculate the correlation of cyclical
real GDP from 2001 到 2009 (annual data) as reported in Table 3. For all other mea-
确定, the annual average values from 2001 到 2009 被使用. Correlations among
various measures are reported in Table 4.10 The table shows that the business cycle
synchronization measure ((西德:4)) is more correlated with external linkage measures than
with internal integration measures. This correlation may imply that external link-
ages are more important in explaining the business cycle synchronization of Asian
countries compared with internal integration. A formal analysis of this possibility is
performed in the next section.
4. 结果
4.1 Basic results
桌子 5 shows the estimation results based on the single equation method. 什么时候
only the measure for internal trade integration (and a constant term) is included as
the regressor, the coefªcient is positive for the ASEAN(西德:2)3 and ASEAN(西德:2)7 样品,
although it is signiªcant at only the 10 percent level for ASEAN(西德:2)7. 相似地, 什么时候
only the measure for internal ªnancial integration is included as the regressor, 这
coefªcient is positive and signiªcant at the 5 百分比和 10 percent level for
ASEAN(西德:2)7 and ASEAN(西德:2)3, 分别. When both internal trade and ªnancial in-
tegration measures are included, 然而, no coefªcients are signiªcantly esti-
mated, probably because of the high correlation between two measures as reported
表中 4.
When the measures for external ªnancial and trade linkages (EXF and EXT) 是
added, the coefªcients on the measures for internal trade integration and two exter-
nal linkages are positively estimated, whereas the coefªcient on the measure for
10 (西德:4)
1, EXT1, and EXF1 are alternative measures to check the robustness of the results. 部分 4
explains those measures.
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Economic Integration and Business Cycle Synchronization in Asia
桌子 4. Correlation among various measures
A. ASEAN(西德:2)3
(西德:4)
(西德:4)
1
时间
F
EXT
EXT1
EXF
EXF1
(西德:2)
1
0.948
0.261
0.297
0.382
0.382
0.439
0.444
乙. ASEAN(西德:2)7
(西德:4)
(西德:4)
1
时间
F
EXT
EXT1
EXF
EXF1
(西德:2)
1
0.903
0.208
0.232
0.281
0.282
0.333
0.334
(西德:2)1
1
0.231
0.276
0.374
0.374
0.424
0.430
(西德:2)1
1
0.164
0.202
0.243
0.244
0.279
0.281
时间
F
EXT
EXT1
EXF
EXF1
1
0.904
0.675
0.676
0.284
0.290
1
0.811
0.812
0.600
0.605
1
1.000
0.591
0.594
1
0.590
0.594
1
1.000
1
时间
F
EXT
EXT1
EXF
EXF1
1
0.864
0.712
0.712
0.249
0.253
1
0.757
0.758
0.606
0.612
1
1.000
0.437
0.439
1
0.437
0.439
1
1.000
1
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桌子 5. Single equation estimation
A. ASEAN(西德:2)3
(西德:2)
时间
F
EXT
EXF
R2
乙. ASEAN(西德:2)7
磷
时间
F
EXT
EXF
R2
OLS
(0.005
(1.58)
OLS
(0.019
(1.82)*
OLS
((西德:6)0.001
((西德:6)0.11)
((西德:6)0.021
(西德:6)(0.87)
(0.041
(0.062
((西德:6)0.034
OLS
(0.006
(1.86)*
OLS
(0.020
(2.08)**
OLS
(0.001
(0.14)
(0.0177
(0.92)
(0.031
(0.041
(0.029
OLS
((西德:6)0.027
(西德:6)(2.56)**
(西德:6)0.109
((西德:6)2.61)**
((西德:6)0.015
(西德:6)(1.45)
((西德:6)0.090
(西德:6)(3.20)***
((西德:6)0.277
OLS
( 0.018
(西德:6)(2.09)**
((西德:6)0.069
((西德:6)2.24)**
((西德:6)0.011
(西德:6)(1.18)
((西德:6)0.067
(西德:6)(3.16)***
((西德:6)0.146
笔记: *Statistically signiªcant at the 10 percent level. **Statistically signiªcant at the 5 percent level. ***Statistically signiªcant at the
1 percent level.
90
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Economic Integration and Business Cycle Synchronization in Asia
internal ªnancial integration is negatively estimated. The estimated coefªcients on
the measures for internal trade and ªnancial integration are signiªcant at the 5 每-
cent level, whereas the estimated coefªcients on the measure for external ªnancial
integration are signiªcant at the 1 percent level. 桌子 5 shows the substantial in-
crease in the adjusted R2 when both measures of external linkages are added to
the regression.
桌子 6 reports the estimation results for the equation system (3). The estimation re-
sults for the main equation (the ªrst equation of equation [3]) are similar to those of
the single equation estimation. The sign of the effects of each variable in the GDP
correlation equation is the same; the internal trade integration and external trade
and ªnancial integration have positive effects on business cycle co-movements, 但
internal ªnancial integration has a negative effect. The estimated coefªcients are
signiªcant in most cases.
The results show that the measures of external trade and ªnancial linkages posi-
tively affect regional business cycle co-movements. This ªnding implies that similar
and strong common external linkages of two countries increase the business cycle
co-movements between them. This is not surprising. 例如, suppose the trade
linkages between Korea and the United States and that between Thailand and the
United States are strong and similar. Suppose further that the U.S. economy is hit by
recession. 然后, both Korea and Thailand will have difªculties exporting to the
美国. 因此, both countries are likely to experience a fall in income and a
worsening trade balance against the United States, which leads to business cycle
synchronization of the two countries. 相似地, suppose the ªnancial linkage be-
tween Korea and the United States and that between Thailand and the United States
are strong and similar. Suppose further that the U.S. economy goes into recession,
which decreases the price of U.S. ªnancial assets. 然后, the net investment income
and capital gain on ªnancial assets in the United States owned by Korea and Thai-
land are likely to fall. Such a case may lead to a fall in income of the latter two coun-
tries and therefore have a positive effect on the business cycle co-movement of
the two.
The results also indicate that internal trade integration has a positive effect on
business cycle co-movements. Many studies,11 following Frankel and Rose (1998),
likewise observed the positive effect of trade integration on business cycle
co-movements. Frankel and Rose (1998) interpreted that a possible negative effect
of trade-induced specialization can be weaker than the direct positive effect of trade
11 例如, Canova and Dellas (1993) found that productivity shocks in the production of
traded intermediate goods generate positive output co-movement across countries.
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Economic Integration and Business Cycle Synchronization in Asia
桌子 6. Equation system estimation
GDP correlations ((西德:2)) 方程
ASEAN(西德:2)3
ASEAN(西德:2)7
时间
F
EXT
EXF
R2
Trade (时间) 方程
F
EXT
EXF
R2
Finance (F) 方程
时间
EXT
EXF
R2
((西德:6)0.070
(西德:6)(2.84)***
((西德:6)0.303
((西德:6)2.82)***
((西德:6)0.038
(西德:6)(2.20)**
((西德:6)0.186
(西德:6)(3.28)***
((西德:6)0.202
(西德:6)(3.941
(西德:6)(7.02)***
((西德:6)0.285
((西德:6)1.16)
((西德:6)1.950
((西德:6)5.32)***
(西德:6)(0.915
(西德:6)(0.217
(西德:6)(7.18)***
(西德:6)(0.122
(西德:6)(2.09)**
(西德:6)(0.473
(西德:6)(4.34)***
(西德:6)(0.948
0.033
(1.60)
(西德:6)0.155
((西德:6)2.07)**
0.023
(1.71)*
0.112
(2.63)***
0.045
((西德:6)3.794
(西德:6)(5.47)***
((西德:6)0.059
((西德:6)0.22)
((西德:6)2.026
((西德:6)5.42)***
((西德:6)0.848
(西德:6)(0.243
(西德:6)(5.95)***
(西德:6)(0.044
(西德:6)(0.49)
(西德:6)(0.517
(西德:6)(6.24)***
(西德:6)(0.908
笔记: *Statistically signiªcant at the 10 percent level. **Statistically signiªcant at the 5 percent level. ***Statistically signiªcant at the
1 percent level.
integration on business cycle co-movements; Imbs (2004) conªrmed such a conjec-
真实. We may attach a similar interpretation to our empirical results.
有趣的是, internal ªnancial integration is found to have a negative effect on the
regional business cycle correlation. Past empirical studies (例如, Imbs [2004, 2006]
and Kose, Prasad, and Terrones [2003] for the countries around the world; Shin and
Sohn [2006] for Asian countries) mostly found that the effect is either positive or
insigniªcant. The result of the current study is particularly interesting because the
effect is positive when the measures for external linkages are not included in the es-
timation as in the past studies. External linkages are found to have a signiªcant ef-
fect on internal business cycle synchronization. By omitting the measures for exter-
nal linkages, the effect of internal integration on internal business cycle
synchronization can be improperly estimated.12
12 Gong and Kim (2012) applied a similar method to various regions of developing countries
and found that the effect is negative after controlling external linkages. On the other
92
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Economic Integration and Business Cycle Synchronization in Asia
Theoretically, the effects of ªnancial integration on business cycle correlation are
ambiguous. 一方面, some theories imply a negative effect. As suggested
by Backus, Kehoe, and Kydland (1992) and Baxter and Crucini (1995), a country-
speciªc positive productivity shock in the home country induces capital ºows from
the foreign country in a two-country model, by increasing the marginal productivity
of capital gap between the home and the foreign countries, thereby generating a
negative correlation between the two countries’ outputs. Obstfeld (1994) suggested
that ªnancial integration can promote investments on risky projects, leading coun-
tries to specialize based on comparative advantages. This effect may lead to a nega-
tive output correlation. 另一方面, other theories, such as that by Calvo and
Mendoza (2000) suggest a positive effect: Financial globalization may promote
contagion and increase business cycle co-movement by weakening incentives for
gathering costly information in the presence of short-selling constraints and by
strengthening incentives for imitating arbitrary market portfolio if below-market
performance is costly for portfolio managers. The former theory, which suggests a
negative effect, is consistent with our results.
Our results also show that internal trade and ªnancial integration affect each other
positively; the estimated coefªcients on the measure of internal trade integration in
the ªnance equation and the measure of internal ªnancial integration in the trade
equation are both positive and signiªcant. This result may imply that policy efforts
to promote regional trade (or ªnancial) integration lead not only to regional trade
(or ªnancial) integration but also to regional ªnancial (or trade) 一体化. This re-
sult also suggests that regional ªnancial integration has a negative direct effect on
business cycle co-movement, but it also has a positive indirect effect by affecting re-
gional trade integration positively. After considering this indirect positive effect, 这
overall negative effect of internal ªnancial integration on regional business cycle co-
movements may not be all that great.
4.2 Extended analysis
Most coefªcients are estimated signiªcantly in the previous regressions. 因此, infer-
ring which of the variables is the most important in explaining business cycle co-
movements is difªcult. To infer the relative importance of the variables, the method
suggested by Kruskal (1987) is applied in calculating the proportion of variance of
the business cycle correlation explained by each variable.13
手, the result is broadly aligned with that of Kalemli-Ozcan, Papaioannou, and Peydró
(2009). The latter suggested that past studies suffer from omitted variable bias (例如, not con-
trolling the aggregate effect) and that the effect of ªnancial integration on business cycle co-
movements is negative after controlling such a bias.
13 This method can be referred to as the averaging relative importance over all orderings of the
independent variables. 第一的, we calculate the proportion of variance of the dependent vari-
93
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Economic Integration and Business Cycle Synchronization in Asia
桌子 7. Partial and relative importance index
A. ASEAN(西德:2)3
Variable
时间
F
EXT
EXF
乙. ASEAN(西德:2)7
Variable
时间
F
EXT
EXF
Partial corr.
(西德:6)0.42
(西德:6)0.42
(西德:6)0.25
(西德:6)0.50
Partial corr.
(西德:6)0.24
(西德:6)0.25
(西德:6)0.14
(西德:6)0.35
Semipartial corr.
(西德:6)0.37
(西德:6)0.38
(西德:6)0.21
(西德:6)0.46
Semipartial corr.
(西德:6)0.22
(西德:6)0.24
(西德:6)0.12
(西德:6)0.33
Relative importance index
0.06
0.06
0.02
0.09
Relative importance index
0.02
0.03
0.01
0.05
笔记: Partial correlation measures the degree of association between two random variables, with the effect of a set of controlling random
variables removed. The semipartial correlation statistic is similar to the partial correlation statistic. Both measure variance correlations
after certain factors are controlled, but to calculate the semipartial correlation, the third variable is held constant for either x or y,
whereas for partial correlations, the third variable is held constant for both.
桌子 7 shows that the most important variable is external ªnance linkages, followed
by internal ªnancial integration, suggesting that ªnancial linkages may be more rel-
evant than trade integration in explaining the business cycle synchronization of
Asian countries. 此外, the sum of the proportion for the two external linkages
is larger than the sum of the proportion for two internal linkages, which is consis-
tent with the popular notion that Asian economies are signiªcantly affected by the
economic conditions of advanced countries.
We also perform various exercises to check the robustness of the results. 第一的, 我们
use the correlation of real GDP growth rate ((西德:4)
real GDP as the measure of business cycle correlation. 第二, the following alterna-
tive measures for external linkages are used:
1) instead of the correlation of cyclical
EXT1ij
EXF1ij
6
(西德:9) w
∑ kmin{Ti,k, Tj,k}
k = 1
6
(西德:9) w
∑ kmin{Fi,k, Fj,k}
k = 1
In these measures, the size of the common external linkage is only considered by
dropping the term that shows the similarity of the external linkage. 第三, alterna-
tive measures for trade and ªnancial integration are considered.
able linearly accounted by the ªrst independent variable. 然后, we calculate the proportion
of the remaining variance of the dependent variable linearly accounted by the second inde-
pendent variable, 等等. 然后, we calculate the average proportion of all possible order-
英格斯. For the details, see Kruskal (1987).
94
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Economic Integration and Business Cycle Synchronization in Asia
T1i,j
(
(西德:3) 1
时间
∑
t
X
我
,
是
j t
,
i t
,
F1i,j
(
(西德:3) 1
时间
∑
t
我
我
,
是
j t
,
i t
,
+
+
+
+
中号
)
j i t
, ,
是
j t
,
我
j i t
, ,
)
是
j t
,
In contrast to the original measures, these measures also depend on country size.
第四, the business cycle co-movement structure might have caused economic inte-
gration. 在这方面, business cycle correlation measures are constructed for the
sample period of 2002–09, but integration measures are constructed based only on
2001 数据. 第五, we consider an alternative structure of the equation system in
which the external ªnancial (or trade) integration does not affect the internal trade
(or ªnancial) 一体化. The results, which are generally the same, are reported in
桌子 8.
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5. 结论
This paper examines the effects of economic integration on the regional business
cycle synchronization of Asian countries. 尤其, we analyze the effects of in-
ternal vs. external integration and trade vs. ªnancial integration on the business
cycle synchronization of Asian countries. A similar and strong common external
linkage was found to have a signiªcant positive effect on the business cycle synchro-
nization of Asian countries. This ªnding implies that shocks from major industrial
countries outside Asia affect Asian countries and generate business cycle co-
movement among countries in the region. 此外, external linkages, 尤其
external ªnancial linkages, were found to be the most important determinant of
business cycle co-movements of Asian countries. The positive effect of internal trade
linkages found in past empirical studies was also conªrmed. 有趣的是, we found
那, after controlling for external linkages, internal ªnancial linkages have a nega-
tive effect on Asian business cycle synchronization. This is in contrast with previous
studies that found a positive effect of internal ªnancial linkages but did not take
external linkages into account.
The empirical results suggest that the regional policy efforts on trade integration
within Asia, such as FTAs among some ASEAN(西德:2)3 国家, have contributed to
the business cycle synchronization of member countries by increasing the extent of
internal trade integration. If such efforts are pursued further in the future, 商业
cycles of Asian countries are likely to be synchronized further. More synchronized
regional business cycles in turn will increase the need for regional macroeconomic
policy coordination and decrease the cost of regional monetary integration.
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Economic Integration and Business Cycle Synchronization in Asia
桌子 8. Extended results
1
ASEAN(西德:2)3
GDP correlations ((西德:2)) 方程
时间
F
EXT
EXF
R2
0.064(3.18)***
(西德:6)0.290((西德:6)3.29)***
0.039(2.71)***
0.168(3.61)***
(西德:6)0.766
Trade (时间) 方程
F
EXT
EXF
R2
4.034(7.26)***
(西德:6)0.318((西德:6)1.31)
(西德:6)2.00((西德:6)5.51)***
0.910
Finance (F) 方程
时间
EXT
EXF
R2
0.223(7.44)***
0.113(1.95)*
0.496(4.66)***
0.947
3
ASEAN(西德:2)3
GDP correlations ((西德:2)) 方程
时间
F
EXT
EXF
R2
16.720(1.42)
(西德:6)0.130((西德:6)1.41)
0.030(1.46)
0.096(2.01)**
0.011
Trade (时间) 方程
ASEAN(西德:2)7
0.032(1.83)*
(西德:6)0.165((西德:6)2.6)***
0.026(2.17)**
0.106(2.91)***
(西德:6)0.310
3.713(5.4)***
(西德:6)0.029((西德:6)0.11)
(西德:6)1.988((西德:6)5.37)***
0.852
0.241(5.99)***
0.048(0.75)
0.511(6.29)***
0.908
ASEAN(西德:2)7
14.708(1.75)*
(西德:6)0.140((西德:6)2.36)**
0.032(2.26)**
0.102(3.00)***
0.005
2
ASEAN(西德:2)3
(西德:6)0.074(3.54)***
(西德:6)0.328((西德:6)3.46)***
(西德:6)5.250(2.46)**
(西德:6)6.264(3.96)***
(西德:6)0.568
(西德:6)4.154(7.48)***
(西德:6)45.454((西德:6)1.47)
(西德:6)2.057((西德:6)5.63)***
(西德:6)0.906
(西德:6)0.221(7.96)***
(西德:6)14.150(2.05)**
(西德:6)15.808(4.70)***
(西德:6)0.947
4
ASEAN(西德:2)3
(西德:6)0.005(0.41)
(西德:6)9.324((西德:6)0.30)
(西德:6)0.006(0.48)
(西德:6)0.044(1.24)
(西德:6)0.185
ASEAN(西德:2)7
(西德:6)0.344(1.69)*
(西德:6)0.165((西德:6)2.17)**
(西德:6)3.040(1.77)*
(西德:6)3.690(2.71)***
(西德:6)0.030
(西德:6)3.869(5.35)***
(西德:6)9.926((西德:6)0.28)
(西德:6)65.298((西德:6)5.32)***
(西德:6)0.846
(西德:6)0.244(6.09)***
(西德:6)5.010(0.66)
(西德:6)16.562(6.57)***
(西德:6)0.910
ASEAN(西德:2)7
(西德:6)0.023(1.13)
(西德:6)64.459((西德:6)1.57)
(西德:6)0.011(0.80)
(西德:6)0.109(2.05)**
(西德:6)0.064
F
EXT
EXF
R2
0.007(5.82)***
(西德:6)0.001((西德:6)1.91)*
(西德:6)0.003((西德:6)4.22)***
0.854
0.007(4.51)***
(西德:6)0.000((西德:6)0.78)
(西德:6)0.003((西德:6)4.34)***
0.828
1,803.060(5.04)***
(西德:6)0.197(0.81)
(西德:6)1.651((西德:6)3.65)***
(西德:6)0.874
2,035.663(3.99)***
(西德:6)0.322(1.11)
(西德:6)2.553((西德:6)4.0)***
(西德:6)0.686
Finance (F) 方程
时间
EXT
EXF
R2
122.318(6.40)***
0.186(3.19)***
0.433(3.41)***
0.927
5
ASEAN(西德:2)3
120.105(5.09)***
0.129(2.12)**
0.472(4.98)***
0.877
ASEAN(西德:2)7
GDP correlations ((西德:2)) 方程
时间
F
EXT
EXF
R2
0.049(2.94)***
(西德:6)0.740((西德:6)3.08)***
4.423(1.360)***
1.318(3.36)***
(西德:6)0.472
0.032(2.81)***
(西德:6)0.310((西德:6)3.31)***
0.967(1.29)
0.843(4.09)***
(西德:6)0.703
0.000 (4.34)***
0.000 (1.85)*
0.001(2.33)**
0.896
6
ASEAN(西德:2)3
0.050(2.02)**
(西德:6)0.217((西德:6)1.99)**
0.031(1.8)*
0.133(2.34)**
0.106
Trade (时间) 方程
F
EXT
EXF
R2
16.061(3.88)***
(西德:6)74.876((西德:6)2.03)***
(西德:6)24.999((西德:6)3.91)***
0.642
Finance (F) 方程
7.204(2.87)***
17.979(0.81)
(西德:6)14.245((西德:6)2.94))***
0.371
3.204(11.98)***
(西德:6)1.496((西德:6)4.66)***
0.927
时间
EXT
EXF
R2
96
0.069(5.55)***
4.334(3.25)***
1.626(6.28)****
0.898
0.085(3.15)***
1.470(0.56)
1.690(4.15)***
0.618
0.133(3.59)***
0.310(5.19)***
0.896
Asian Economic Papers
(西德:6)0.000(3.84)***
(西德:6)0.000((西德:6)0.24)
(西德:6)0.001(5.34)***
(西德:6)0.807
ASEAN(西德:2)7
(西德:6)0.030(1.48)
(西德:6)0.148((西德:6)1.99)**
(西德:6)0.026(1.93)*
(西德:6)0.099(2,36)**
(西德:6)0.035
(西德:6)3.468(16.27)***
(西德:6)1.563((西德:6)6.88)***
(西德:6)0.868
(西德:6)0.084(1.62)
(西德:6)0.324(4.34)***
(西德:6)0.788
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Economic Integration and Business Cycle Synchronization in Asia
桌子 8 (Continued)
笔记: (1) shows the results when real GDP in log-difference is used instead of cyclical real GDP.
(2) shows the results when alternative measures for external trade and ªnancial linkages are used.
(3) shows the results when the alternative measure for internal trade linkages is used.
(4) shows the results when the alternative measure for internal ªnancial linkages is used.
(5) shows the results when the integration measures are calculated based on 2001 数据, but the business cycle measures are calculated
based on 2002–2009 data.
(6) shows the results when EXF is not included in the Trade equation and EXT is not included in the Finance equation.
*Statistically signiªcant at the 10 percent level. **Statistically signiªcant at the 5 percent level. ***Statistically signiªcant at the
1 percent level.
另一方面, the empirical results indicate that regional efforts to improve
ªnancial integration within Asia, such as CMIM and ABMI, have affected regional
business cycle co-movements negatively. The empirical results also show, 然而,
that regional ªnancial integration has a positive effect on regional trade integration,
which in turn has a positive effect on business cycle co-movements. 例如, 关于-
gional efforts like CMIM and ABMI may have a negative direct effect on business
cycle co-movements, but they can have a positive indirect effect on business cycle by
increasing the trade integration. After taking account of the indirect effect, the over-
all negative effect is likely to be small.
更重要的是, regional ªnancial integration/cooperation provides various other
beneªts, 例如, reducing the possibility of future crisis, enhancing risk shar-
英, and efªciently allocating savings into investments.14 When such beneªts are
经过考虑的, further efforts on regional ªnancial cooperation are highly likely to im-
prove welfare of countries in the region. 此外, even regional monetary inte-
gration can be more feasible with further efforts on regional ªnancial cooperation.
例如, regional ªnancial integration can reduce the cost of monetary union by
increasing consumption risk sharing within the region, which can be regarded as a
built-in stabilization mechanism in the presence of asymmetric income shocks.15
所以, further regional ªnancial integration/cooperation, especially comprehen-
sive efforts like the Asian Capital Market Initiative that can provide various general
beneªts to Asian countries, is a crucial task for Asia.
参考
Asian Development Bank. 2007. Uncoupling Asia: Myth and Reality. Asian Development Outlook
2007:66–81.
14 Refer to Kim and Yang (2012) for various beneªts of regional ªnancial cooperation/
integration in the context of Asia.
15 Refer to Kim, Kim, and Wang (2004, 2006) for the measurement of the degree of consump-
tion risk sharing in Asia.
97
Asian Economic Papers
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Economic Integration and Business Cycle Synchronization in Asia
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