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A Sectoral Model of the Australian Economy

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Author Info
Jeremy Lawson (Reserve Bank of Australia)
Daniel Rees (Reserve Bank of Australia)
Abstract

We use a structural vector autoregression (SVAR) to examine the effect of unanticipated changes in monetary policy on the expenditure and production components of GDP over the period from 1983 to 2007. We find that dwelling investment and machinery & equipment investment are the most interest-sensitive expenditure components of activity, and that construction and retail trade are the most interest-sensitive production components of activity. We subject our model to a range of sensitivity checks and find that our results are robust to omitted variables, alternative identification schemes and the time period over which our model is estimated.

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Paper provided by Reserve Bank of Australia in its series RBA Research Discussion Papers with number rdp2008-01.

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Date of creation: Apr 2008
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Handle: RePEc:rba:rbardp:rdp2008-01

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Related research
Keywords: Australian economy; sectoral macroeconomic model; monetary policy;

Find related papers by JEL classification:
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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This page was last updated on 2009-12-2.

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