Endnotes

¹Although we used the same framework for all countries, the US may not be regarded as completely exogenous to Japan and the PRC. In this regard, the empirical results for Japan and the PRC should be interpreted with some caution. On the other hand, while an individual country in East Asia is not likely to affect the US economy, Asia as a whole may affect the US economy (i.e., see Kim, Lee, and Park 2009). We did not model such a possibility explicitly since such a modeling, together with analyzing the effects of US monetary policy shocks, is not easy, especially given our short sample periods.

²The US data is obtained from the database of the Federal Reserve Bank of St. Louis. Intermediate material price is used as commodity price index. M1 is used as the monetary aggregate. We conducted experiments with various measures of commodity price and monetary aggregates. Abnormal responses such as the price puzzle are relatively weaker when we use the intermediate material price and M1. Natural logarithm is taken and multiplied by 100 for all variables except for the interest rate.

³Data for East Asian countries are obtained from International Financial Statistics and Census and Economic Information Center (CEIC). Natural logarithm is taken and multiplied by 100 for all variables except for the interest rate.

⁴The only exception is Indonesia.

⁵Interpreting Indonesian responses is difficult in view of conventional theory.

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