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A Structural VAR model of the Australian economy
Citation
Dungey, MH and Pagan, A, A Structural VAR model of the Australian economy, The Economic Record, 76, (235) pp. 321-342. ISSN 0013-0249 (2000) [Refereed Article]
DOI: doi:10.1111/j.1475-4932.2000.tb00030.x
Abstract
We 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.
Item Details
| Item Type: | Refereed Article |
|---|---|
| Research Division: | Economics |
| Research Group: | Econometrics |
| Research Field: | Economic Models and Forecasting |
| Objective Division: | Economic Framework |
| Objective Group: | Macroeconomics |
| Objective Field: | Monetary Policy |
| Author: | Dungey, MH (Professor Mardi Dungey) |
| ID Code: | 57025 |
| Year Published: | 2000 |
| Web of Science® Times Cited: | 79 |
| Deposited By: | Economics and Finance |
| Deposited On: | 2009-06-12 |
| Last Modified: | 2009-06-16 |
| Downloads: | 0 |
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