A Structural VAR Model of the Australian Economy

By Mardi Dungey, A. Pagan. 2000

286 citations recorded by the source corpus.

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. Copyright 2000 by The Economic Society of Australia.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/33ed1821cee82836f3f8338db8fe12601519a403

How researchers see this paper

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In Economics and Econometrics

1. Renée Fry
2. Mardi Dungey
3. Pilipinas F. Quising
4. Marie Anne Cagas
5. Xinhua He
6. D. Qin
7. G. Otto
8. G. Voss

Citations in the corpus

• THE IDENTIFICATION OF FISCAL AND MONETARY POLICY IN A STRUCTURAL VAR (2009, background): “Then denote the permanent component of a series yit as y p it which in general can be written as y it = J it where J = FB 1 0 : (16) This consequently means that 0J = 0: Using the permanent and temporary components of the system the VECM can be transformed into a so-called gaps SVAR form as in Dunge”
• UNDERSTANDING OECD OUTPUT CORRELATIONS (2001, background): “1 See, for example, Dungey and Pagan (2000) ; de Brouwer and Romalis (1996); de Roos and”
• How Much Does Investment Drive Economic Growth in China (2006, methodology): “12 In their IRF analysis, Dungey and Pagan (2000) considered uncertainty due to parameter estimates.”