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International SVAR Factor Modelling

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  • Renee Fry

Abstract

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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File URL: http://external-apps.qut.edu.au/business/documents/discussionPapers/2002/DP%20No%20109.pdf
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Bibliographic Info

Paper provided by School of Economics and Finance, Queensland University of Technology in its series School of Economics and Finance Discussion Papers and Working Papers Series with number 109.

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Date of creation: 20 Apr 2002
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Handle: RePEc:qut:dpaper:109

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Postal: GPO Box 2434, BRISBANE QLD 4001
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Web page: http://www.bus.qut.edu.au/faculty/economics/
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Keywords: Structural VAR; latent factors; Kalman filter.;

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References

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Cited by:
  1. Kathleen Goffey & Andrew Worthington, 2002. "Motor Vehicle Usage Patterns in Australia: A Comparative Analysis of Driver, Vehicle & Purpose Characteristics for Household & Freight Travel," School of Economics and Finance Discussion Papers and Working Papers Series 117, School of Economics and Finance, Queensland University of Technology.

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