Identification of common and idiosyncratic shocks in real equity prices: Australia 1982 to 2002
Date
2004-04-28
Authors
McKibbin, Renee Anne
Dungey, Mardi
Martin, Vance L.
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Elsevier
Abstract
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 depreciate significantly below a precrisis baseline forecast, while contagion from the
Asian financial crisis of 1997–1998 is found to have a much smaller negative impact.
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Keywords
equities, interdependence, SVAR, dot-com, contagion
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Global Finance Journal 15.1 (2003): 81-102
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Journal article
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