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International Demand and Liquidity Shocks in a SVAR Model of the Australian Economy

McKibbin, Renee Anne

Description

A structural vector autoregressive model of the Australian economy that allows for international shocks from the USA, Japan as well as world commodity prices is specified and estimated for the period 1979–1999. A block exogenous structure linking the three countries is imposed. The international linkages are modelled using a factor structure to circumvent problems from estimating large scale dynamic models. The factors are estimated recursively using a Kalman filter and are found to...[Show more]

CollectionsANU Research Publications
Date published: 2004
Type: Journal article
URI: http://hdl.handle.net/1885/11676
Source: Applied Economics. 36.8 (2004): 849-863
DOI: 10.1080/0003684042000229569

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