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The industrial impact of monetary shocks during the inflation targeting era in Australia

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  • Vespignani, Joaquin L.

Abstract

In this article we analyse the industrial impact of monetary shocks since inflation targeting has been introduced in Australia (1990). These impacts are quantified by constructing a structural vector autoregressive (SVAR) model for a small open economy. Our results show that construction and manufacturing industries exhibit a significant reduction in gross value added (GVA) after an unanticipated rise in the official cash rate. However, the finance and insurance industry, and the mining industry,seem to be unaffected by these shocks.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 43686.

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Date of creation: 01 Jun 2012
Date of revision: 01 Jan 2013
Handle: RePEc:pra:mprapa:43686

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Keywords: Monetary shocks; Industrial response; Industrial composition and VAR model;

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  1. Dedola, Luca & Lippi, Francesco, 2005. "The monetary transmission mechanism: Evidence from the industries of five OECD countries," European Economic Review, Elsevier, vol. 49(6), pages 1543-1569, August.
  2. Mark Gertler & R. Glenn Hubbard, 1988. "Financial factors in business fluctuations," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 33-78.
  3. Ben S. Bernanke & Alan S. Blinder, 1989. "The federal funds rate and the channels of monetary transmission," Working Papers 89-10, Federal Reserve Bank of Philadelphia.
  4. Andrea Brischetto & Graham Voss, 1999. "A Structural Vector Autoregression Model of Monetary Policy in Australia," RBA Research Discussion Papers rdp1999-11, Reserve Bank of Australia.
  5. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
  6. Gerald Carlino & Robert Defina, 1998. "The Differential Regional Effects Of Monetary Policy," The Review of Economics and Statistics, MIT Press, vol. 80(4), pages 572-587, November.
  7. George Georgopoulos, 2009. "Measuring regional effects of monetary policy in Canada," Applied Economics, Taylor & Francis Journals, vol. 41(16), pages 2093-2113.
  8. Leon Berkelmans, 2005. "Credit and Monetary Policy: An Australian SVAR," RBA Research Discussion Papers rdp2005-06, Reserve Bank of Australia.
  9. Dungey, Mardi & Pagan, Adrian, 2000. "A Structural VAR Model of the Australian Economy," The Economic Record, The Economic Society of Australia, vol. 76(235), pages 321-42, December.
  10. Gerald A. Carlino & Robert H. DeFina, 1999. "Do states respond differently to changes in monetary policy?," Business Review, Federal Reserve Bank of Philadelphia, issue Jul, pages 17-27.
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Cited by:
  1. Stephen J. Knop & Joaquin L. Vespignani, 2014. "The sectorial impact of commodity price shocks in Australia," CAMA Working Papers 2014-19, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  2. Mardi Dungey & Renée Fry-McKibbin & Verity Linehan, 2013. "Chinese Resource Demand and the Natural Resource Supplier," CAMA Working Papers 2013-54, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.

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