Output volatility of five crisis-affected East Asia economies

A decade has passed since the Asian financial crisis (AFC) in 1997, and attention is drawn to the output performance of the crisis-affected economies in East Asia. Using the Hodrick–Prescott (HP) filter, this paper examines the growth volatility of GDP, its components and the stock market of five Ea...

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Bibliographic Details
Published in:Japan and the world economy 2009-03, Vol.21 (2), p.172-182
Main Authors: Li, Kui-Wai, Kwok, Ming-Lok
Format: Article
Language:English
Subjects:
Asian financial crisis
Asian financial crisis Business cycles Growth and volatility
Business cycles
East Asia
Economic conditions
Economic development
Economic shock
Financial crisis
Gross domestic product
Growth and volatility
Growth rates
Hong Kong
Japan
Output rate
Singapore
South Korea
Stock exchange
Stock market
Volatility
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Summary:A decade has passed since the Asian financial crisis (AFC) in 1997, and attention is drawn to the output performance of the crisis-affected economies in East Asia. Using the Hodrick–Prescott (HP) filter, this paper examines the growth volatility of GDP, its components and the stock market of five East Asia economies of Japan, Singapore, South Korea, Chinese Taipei and Hong Kong Special Administrative Region (SAR). Empirical evidences based on quarterly data show that output volatility for both Singapore and South Korea has increased after the AFC. For the GDP components, trade is a major factor in lowering GDP volatility in Chinese Taipei. The Hong Kong SAR economy has experienced an increase/decrease in the volatility of investment/private consumption. Among the five East Asia economies, government intervention is obvious in Singapore. The stock markets in both Hong Kong SAR and Chinese Taipei showed stronger ability in absorbing shocks.
ISSN:0922-1425
1879-2006
DOI:10.1016/j.japwor.2008.04.004