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Identification of common and idiosyncratic shocks in real equity prices: Australia 1982 to 2002

McKibbin, Renee Anne; Dungey, Mardi; Martin, Vance L.


A structural vector autoregressive (SVAR) model of real equity prices in Australia is specified to contain common shocks in international equity markets and domestic shocks in Australian financial and goods markets. Common shocks are identified through the long-run comovements of international equity markets, resulting in the model being characterized as having more shocks than variables. The empirical results show that the dot-com crisis of 2000 causes Australian real equity values to...[Show more]

CollectionsANU Research Publications
Date published: 2004-04-28
Type: Journal article
Source: Global Finance Journal 15.1 (2003): 81-102
DOI: 10.1016/j.gfj.2003.10.008


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