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A Multi-Country Structural VAR Model

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  • Dungey, Mardi

    ()

  • Fry, Renee

    ()

Abstract

Traditionally, the VAR literature has focussed on at most two country/region models. A multi-country SVAR highlights the im- portance of various international inßuences on a small open economy Using the example of the effects of US and Japanese shocks on the Aus- tralian economy we show that incorporating both of these economies as international inßuences, and accounting for possible multicollinear- ity between output variables, makes a substantial difference to the amplitude of the impulse responses recovered from the system.

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File URL: https://crawford.anu.edu.au/acde/publications/publish/papers/wp2001/MarchWP04_2001.pdf
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Bibliographic Info

Paper provided by The Australian National University, Arndt-Corden Department of Economics in its series Departmental Working Papers with number 2001-04.

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Length: 35 pages
Date of creation: Nov 2000
Date of revision:
Handle: RePEc:pas:papers:2001-04

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Keywords: structural VAR; open economy; international shocks;

References

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Citations

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Cited by:
  1. Robert A Buckle & Kunhong Kim & Heather Kirkham & Nathan McLellan & Jared Sharma, 2002. "A structural VAR model of the New Zealand business cycle," Treasury Working Paper Series 02/26, New Zealand Treasury.
  2. Renee Fry, 2004. "International demand and liquidity shocks in a SVAR model of the Australian economy," Applied Economics, Taylor & Francis Journals, vol. 36(8), pages 849-863.

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