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The role of portfolio shocks in a structural vector autoregressive model of the Australian economy*

Fry, Renée; Hocking, James; Martin, Vance L

Description

Domestic and foreign equity shocks on the Australian economy are analysed within a five-variate structural vector autoregressive model, with identification achieved through long-run restrictions based on the natural rate hypothesis, monetary neutrality, long-run portfolio balance and purchasing power parity. The results show that real equity values were undervalued by 19 per cent by June 2005, with the gap narrowing thereafter. Foreign crises are important factors explaining this deterioration....[Show more]

CollectionsANU Research Publications
Date published: 2008-03
Type: Journal article
URI: http://hdl.handle.net/1885/11687
Source: Economic Record 84.264 (2008). 17-33
DOI: 10.1111/j.1475-4932.2008.00444.x

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