 |
This paper examines macro-financial linkages in East Asia since the 1990s from both global and regional perspectives. First, we estimate dynamic factor models to identify global macroeconomic and financial factors in developed economies (G7) and then regional macroeconomic and financial factors in emerging market economies in East Asia and Europe. Second, we estimate VAR models for each emerging market economy in East Asia and Europe with these global and regional factors and evaluate their relative importance to output fluctuations through variance decomposition across periods and across emerging market regions. Our results reveal that total regional factors's contribution was more stable in East Asia compared to that of the total global factors before and after the global financial crisis, and of the total regional factor contribution the contribution of regional macro factors was larger in East Asia, whereas the contribution of regional financial factors was larger in emerging Europe.
