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A Structural VAR model of the Australian economy
journal contribution
posted on 2023-05-16, 23:41 authored by Dungey, MH, Pagan, AWe develop an 11-variable structural VAR for the Australian economy over the period 1980 to 1998. The VAR methodology has only relatively recently been applied in the Australian context, despite its popularity in quantitative macroeconomics internationally. Our model includes an overseas sector which distinguishes between goods and asset markets so as to disentangle the effects of shocks emanating from each source. We utilize our model to dissect the Australian growth cycle into its separate influences and to study the Asian crisis. Throughout there is a strong emphasis upon identifying the impact of monetary policy.
History
Publication title
The Economic RecordVolume
76Issue
235Pagination
321-342ISSN
0013-0249Department/School
TSBEPublisher
Wiley-Blackwell Publishing AsiaPlace of publication
AustraliaRepository Status
- Restricted