International SVAR Factor Modelling: Discussion Paper No. 109
Fry, Renee (2002) International SVAR Factor Modelling: Discussion Paper No. 109. [Working Paper]
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Description
Models of Australia proxy international linkages using the US, despite Japan being an equivalent trading partner. This paper uses a Kahnan filter to extract US and Japanese reference cycles which are then used in an SVAR model of the Australian economy. The US and Japanese shocks are interpreted to be aggregate demand and interest rate shocks respectively. The results show that US shocks axe dominant for Australian outcomes, but the model is misspecified if Japan is excluded. The role of Japan is to dampen expansionary US shocks. Further, Australian monetary policy responds to domestic conditions, rather than international monetary policy.
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| ID Code: | 527 |
|---|---|
| Item Type: | Working Paper (Working Paper) |
| Series Name: | School of Economics and Finance Discussion Papers and Working Papers Series |
| Refereed: | No |
| Keywords: | Kalman filter, Structural VAR, latent factors |
| Pure ID: | 57090576 |
| Divisions: | Past > QUT Faculties & Divisions > QUT Business School |
| Copyright Owner: | Copyright 2002 (Please consult author) |
| Copyright Statement: | This work is covered by copyright. Unless the document is being made available under a Creative Commons Licence, you must assume that re-use is limited to personal use and that permission from the copyright owner must be obtained for all other uses. If the document is available under a Creative Commons License (or other specified license) then refer to the Licence for details of permitted re-use. It is a condition of access that users recognise and abide by the legal requirements associated with these rights. If you believe that this work infringes copyright please provide details by email to [email protected] |
| Deposited On: | 08 Nov 2004 00:00 |
| Last Modified: | 09 Feb 2025 14:12 |
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