The synchronization of the economic fluctuations in East Asia has been confirmed academically. This paper quantifies the impact of six different shocks, using a panel vector auto-regression approach and determines their contributions to macroeconomic volatility in East Asian economies. In general, the impacts of supply shock, exchange rate shock, external demand shock, and world interest rate are the main sources of fluctuations. Exchange rate is the main transmit channel of external shocks, while the inflation rate mainly transmits the domestic shocks. With the deepening of the regional integration and financial openness in East Asia, the economies should pay more attention to the shocks caused by the variation of external demand shock, and world interest rate.