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A Structural VAR Model of the Australian Economy
Author(s) -
DUNGEY MARDI,
PAGAN ADRIAN
Publication year - 2000
Publication title -
economic record
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.365
H-Index - 42
eISSN - 1475-4932
pISSN - 0013-0249
DOI - 10.1111/j.1475-4932.2000.tb00030.x
Subject(s) - economics , popularity , context (archaeology) , asset (computer security) , business cycle , vector autoregression , macroeconomics , monetary policy , variable (mathematics) , economy , monetary economics , geography , political science , mathematical analysis , computer security , mathematics , archaeology , computer science , law
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.