Skip navigation
Skip navigation

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]

dc.contributor.authorMcKibbin, Renee Anne
dc.date.accessioned2014-05-15T04:58:39Z
dc.date.available2014-05-15T04:58:39Z
dc.identifier.issn0003-6846
dc.identifier.other1466-4283
dc.identifier.urihttp://hdl.handle.net/1885/11676
dc.description.abstractA 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 represent aggregate demand and liquidity shocks for the USA and Japan respectively. The key empirical result is the USA shocks are the dominant source of international shocks on the Australian economy with the Japanese economy having a dampening effect on the USA shocks. The empirical results also show that Australian monetary policy responds to domestic conditions rather than international monetary policy.
dc.format16 pages
dc.publisherTaylor & Francis
dc.rights© 2004 Taylor & Francis Ltd
dc.sourceApplied Economics. 36.8 (2004): 849-863
dc.subjectKeywords: commodity price; monetary policy; national economy; vector autoregression; Australasia; Australia
dc.titleInternational Demand and Liquidity Shocks in a SVAR Model of the Australian Economy
dc.typeJournal article
local.description.refereedYes
local.identifier.citationvolume36
dc.date.issued2004
local.identifier.absfor140212 - Macroeconomics (incl. Monetary and Fiscal Theory)
local.identifier.ariespublicationMigratedxPub6381
local.publisher.urlhttp://www.routledge.com/
local.type.statusPublished version
local.contributor.affiliationMcKibbin, Renee Anne, ANU Crawford School of Public Policy
dc.relationhttp://purl.org/au-research/grants/arc/dp44340
local.bibliographicCitation.issue8
local.bibliographicCitation.startpage849
local.bibliographicCitation.lastpage64
local.identifier.doi10.1080/0003684042000229569
dc.date.updated2015-12-11T09:43:34Z
local.identifier.scopusID2-s2.0-3142742525
CollectionsANU Research Publications

Download

There are no files associated with this item.


Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  17 November 2022/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator