Examining industrial interdependence between Japan and South Korea: A FAVAR approach
DD Selover, T Yagihashi - Japan and the World Economy, 2015 - Elsevier
This paper investigates the economic relationship between Japan and South Korea by
incorporating disaggregated output measures. Using a factor-augmented vector
autoregression (FAVAR) model, we conduct several experiments to test the nature of the
interdependence, both in the aggregate and by sector. We find that South Korean output
shocks affect the Japanese economy in a significant manner, whereas Japanese output
shocks have a limited effect on South Korea. By further examining the transmission …
incorporating disaggregated output measures. Using a factor-augmented vector
autoregression (FAVAR) model, we conduct several experiments to test the nature of the
interdependence, both in the aggregate and by sector. We find that South Korean output
shocks affect the Japanese economy in a significant manner, whereas Japanese output
shocks have a limited effect on South Korea. By further examining the transmission …
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