International SVAR Factor Modelling: Discussion Paper No. 109
Fry, Renee (2002) International SVAR Factor Modelling: Discussion Paper No. 109. [Working Paper]
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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|Item Type:||Working Paper|
|Keywords:||Structural VAR, latent factors, Kalman filter|
|Subjects:||Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > APPLIED ECONOMICS (140200) > Financial Economics (140207)|
|Divisions:||Current > QUT Faculties and Divisions > QUT Business School|
|Copyright Owner:||Copyright 2002 (Please consult author)|
|Deposited On:||08 Nov 2004|
|Last Modified:||02 Feb 2012 09:44|
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