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Towards A Structural Var Model Of The Australian Economy
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Book Synopsis Towards a Structural VAR Model of the Australian Economy by : Mardi Dungey
Download or read book Towards a Structural VAR Model of the Australian Economy written by Mardi Dungey and published by . This book was released on 1997 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Multi-country Structural VAR Model by : Mardi Dungey
Download or read book A Multi-country Structural VAR Model written by Mardi Dungey and published by . This book was released on 2001 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Structural Vector Autoregressive Analysis by : Lutz Kilian
Download or read book Structural Vector Autoregressive Analysis written by Lutz Kilian and published by Cambridge University Press. This book was released on 2017-11-23 with total page 757 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses the econometric foundations of structural vector autoregressive modeling, as used in empirical macroeconomics, finance, and related fields.
Book Synopsis Macroeconomic Fluctuations in the Australian Economy by : Jeremy Smith
Download or read book Macroeconomic Fluctuations in the Australian Economy written by Jeremy Smith and published by . This book was released on 1991 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Structural Vector Autoregression Model of Monetary Policy in Australia by : Andrea Brischetto
Download or read book A Structural Vector Autoregression Model of Monetary Policy in Australia written by Andrea Brischetto and published by . This book was released on 1999 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the effects of monetary policy in Australia using a small structural vector autoregression model. The model we use is a modification of the small open economy model developed for the G6 economies (the G7 less the United States) by Kim and Roubini (1999). The success of the Kim and Roubini model across these economies makes it a natural starting point to analyse monetary policy in Australia. Consistent with Kim and Roubini, we find no evidence of the price or exchange rate puzzles identified in the literature. We demonstrate that, in the Australian context, modelling the interdependence between the domestic interest rate, the foreign interest rate and the nominal exchange rate is critical to resolving these puzzles. Further, we demonstrate that the Kim and Roubini model can be further usefully refined when applied to the Australian data. We use the model to perform various monetary policy experiments and the results of these experiments accord well with both the existing SVAR literature and previous empirical work for Australia. We find that monetary policy shocks have a delayed and gradual effect on the price level and a small temporary effect on output. We also use the model to examine the effects of shocks to the Australian economy and the role of monetary policy in response to these shocks. Generally, we find that monetary policy has served to dampen both output and price fluctuations. A qualifying aspect of our results is the model's instability, for example, around the most recent change in the implementation of monetary policy in Australia.
Book Synopsis Essays on Economic and Policy Time Variations in Small Open Economies by : Jamie Lee Cross
Download or read book Essays on Economic and Policy Time Variations in Small Open Economies written by Jamie Lee Cross and published by . This book was released on 2017 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of four research papers. The first three papers explore the prevalence and significance of time variation within the Australian economy. The final paper is distinct in that it analyzes the effects of economic and policy uncertainty on the Canadian economy. In the first paper (Chapter 2), I address recent concerns that Australian monetary policy is currently less effective than in the past. To investigate this hypothesis, I estimate a time varying structural vector autoregression (SVAR) model. The main result is that monetary policy effectiveness has increased over the sample period, with little evidence to support the claim of a weaker transmission mechanism since the 2007/08 global financial crisis. In the second paper (Chapter 3 - joint with Aubrey Poon), we build on the results in the first paper by investigating the forecasting properties of Gaussian and Student's-t distributed classes of time varying autoregressive models when predicting Australian macroeconomic variables. The main result is that time varying parameters, stochastic volatility and the Student's-t error distribution are all important modeling features of the data. More specifically, a VAR model with the proposed features provides the best inflation and interest rate forecasts over the entire sample. Surprisingly, a simple rolling window autoregressive model provides the best real GDP growth forecasts. In the third paper (Chapter 4 - joint with Aubrey Poon), we build on the results in the first two papers, by quantifying the impacts of international shocks in driving Australian business cycle fluctuations. Our methodology builds on classes of Gaussian and Student's-t distributed, time varying panel VAR models, by proposing a fat-tailed common stochastic volatility factor. We find an important asymmetry in the effects of international shocks, with around 47 percent of negative and 68 percent of positive fluctuations resulting from foreign disturbances. More generally, international shocks have contributed to around half of all Australian business cycle fluctuations over the past two decades. The fourth paper (Chapter 5 - joint with Aubrey Poon, Joshua Chan and Timothy Kam), deviates from the first three papers in that it uses Canadian data. Our objective is to quantify the impacts of uncertainty shocks to the business cycle fluctuations of a small open economy. Using a Bayesian-estimated structural model, we quantify which time-varying risk - in domestic demand or supply conditions, in domestic monetary or fiscal policy, or, in international economic and policy spillovers factors - matter for a small open economy like Canada. Our results suggest that the historical movements in Canadian real GDP are due largely to domestic fiscal- and monetary-policy shocks, and, due to non-negligible time variations in the riskiness of these policy shocks.
Book Synopsis VAR Forecasting Models of the Australian Economy by : Robert G. Trevor
Download or read book VAR Forecasting Models of the Australian Economy written by Robert G. Trevor and published by . This book was released on 1988 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Natural Rate of Unemployment in Australia by : Nicolaas Groenewold
Download or read book The Natural Rate of Unemployment in Australia written by Nicolaas Groenewold and published by . This book was released on 2000 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The concept of the natural rate of unemployment is widely used in the analysis and discussion of macroeconomic policy. It is, however, unobservable so that estimates of the natural rate are necessarily based on a particular theory of unemployment. Hence, measures of the natural rate, whether constant or time-varying, are necessarily model-dependent. Various series based on specific models have recently become available for Australia. We set out to compute a series for the natural rate based on a minimal theoretical structure captured by a two-variable structural vector-autoregressive (SVAR) model estimated using quarterly Australian data for the period 1978-1997. We assess the robustness of our estimates by varying both the theoretical restriction imposed on the model and the two variables included in the model. We find that the computed natural rate is quite sensitive to model specification, both in terms of the level and of the cyclical behaviour of the natural rate. We argue, however, that a particular variant of our model is strongly preferred to the others investigated. It produces an estimates natural rate series the behaviour of which is broadly consistent with that of series produced by others from more restrictive models.
Book Synopsis Nominal Exchange Rate Neutrality for Australia by : Christopher Bradfield Harbinger
Download or read book Nominal Exchange Rate Neutrality for Australia written by Christopher Bradfield Harbinger and published by . This book was released on 2006 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study is concerned primarily with the impact of the nominal exchange rate on the Australian economy. In particular this study examines whether the nominal exchange rate of the Australian dollar is neutral with regards to real gross domestic product.
Book Synopsis A Structural Model of Australia as a Small Open Economy by : Kristoffer Nimark
Download or read book A Structural Model of Australia as a Small Open Economy written by Kristoffer Nimark and published by . This book was released on 2007 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper sets up and estimates a structural model of Australia as a small open economy using Bayesian techniques. Unlike other recent studies, the paper shows that a small micro-founded model can capture the open economy dimensions quite well. Specifically, the model attributes a substantial fraction of the volatility of domestic output and inflation to foreign disturbances and matches the evidence from reduced-form studies. In addition, the model relies much less than other estimated models on a persistent shock to the risk premium to explain changes in the nominal exchange rate. The paper also investigates the effects of various exogenous shocks on the Australian economy.
Book Synopsis The Effects of International Shocks on Australia's Business Cycle by : Philip Liu
Download or read book The Effects of International Shocks on Australia's Business Cycle written by Philip Liu and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article examines the sources of Australia's business cycle fluctuations. The cyclical component of gross domestic product is extracted using the Beveridge-Nelson decomposition and a structural Vector autoregressive model (VAR) model is identified using robust sign restrictions derived from a structural small open economy model. In contrast to previous VAR studies, international factors are found to contribute to over half of the output forecast errors whereas demand shocks have relatively modest effects.
Book Synopsis A Structural Model of Australia as a Small Open Economy by : Kristoffer Nimark
Download or read book A Structural Model of Australia as a Small Open Economy written by Kristoffer Nimark and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :Australian National University. Research School of Social Sciences. Department of Economics Publisher : ISBN 13 : Total Pages :72 pages Book Rating :4.:/5 ( download)
Book Synopsis Working Papers in Economics and Econometrics by : Australian National University. Research School of Social Sciences. Department of Economics
Download or read book Working Papers in Economics and Econometrics written by Australian National University. Research School of Social Sciences. Department of Economics and published by . This book was released on 1991 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Dissecting Taylor Rules in a Structural VAR by : Woon Gyu Choi
Download or read book Dissecting Taylor Rules in a Structural VAR written by Woon Gyu Choi and published by International Monetary Fund. This book was released on 2010-01-01 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper uncovers Taylor rules from estimated monetary policy reactions using a structural VAR on U.S. data from 1959 to 2009. These Taylor rules reveal the dynamic nature of policy responses to different structural shocks. We find that U.S. monetary policy has been far more responsive over time to demand shocks than to supply shocks, and more aggressive toward inflation than output growth. Our estimated dynamic policy coefficients characterize the style of policy as a "bang-bang" control for the pre-1979 period and as a gradual control for the post-1979 period.
Book Synopsis Applied Time Series Econometrics by : Helmut Lütkepohl
Download or read book Applied Time Series Econometrics written by Helmut Lütkepohl and published by Cambridge University Press. This book was released on 2004-08-02 with total page 351 pages. Available in PDF, EPUB and Kindle. Book excerpt: Time series econometrics is a rapidly evolving field. Particularly, the cointegration revolution has had a substantial impact on applied analysis. Hence, no textbook has managed to cover the full range of methods in current use and explain how to proceed in applied domains. This gap in the literature motivates the present volume. The methods are sketched out, reminding the reader of the ideas underlying them and giving sufficient background for empirical work. The treatment can also be used as a textbook for a course on applied time series econometrics. Topics include: unit root and cointegration analysis, structural vector autoregressions, conditional heteroskedasticity and nonlinear and nonparametric time series models. Crucial to empirical work is the software that is available for analysis. New methodology is typically only gradually incorporated into existing software packages. Therefore a flexible Java interface has been created, allowing readers to replicate the applications and conduct their own analyses.
Book Synopsis Aspects of Macroeconometric Time Series Modelling by : Jeremy Paul Duncan Smith
Download or read book Aspects of Macroeconometric Time Series Modelling written by Jeremy Paul Duncan Smith and published by . This book was released on 1991 with total page 806 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis OECD Reviews of Regulatory Reform: Australia 2010 Towards a Seamless National Economy by : OECD
Download or read book OECD Reviews of Regulatory Reform: Australia 2010 Towards a Seamless National Economy written by OECD and published by OECD Publishing. This book was released on 2010-02-15 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt: This review presents a general picture, set within a macroeconomic context, of regulatory achievements and challenges in Australia, including regulatory quality at federal level as well as across levels of government, competition policy and market openness.