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The Role of International Shocks in Australia's Business Cycle

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Author Info
Philip Liu (Reserve Bank of Australia)

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Abstract

This paper examines the sources of Australia’s business cycle fluctuations. The cyclical component of GDP is extracted using the Beveridge-Nelson decomposition and a structural VAR model is identified using robust sign restrictions derived from a small open economy model. In contrast to previous VAR studies, international factors are found to contribute to over half of the output forecast errors, whereas demand shocks have relatively modest effects.

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File URL: http://www.rba.gov.au/rdp/RDP2008-08.pdf
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Publisher Info
Paper provided by Reserve Bank of Australia in its series RBA Research Discussion Papers with number rdp2008-08.

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Date of creation: Dec 2008
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Handle: RePEc:rba:rbardp:rdp2008-08

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Related research
Keywords: Australian business cycle; sign restriction VAR; stabilisation policy; international shocks;

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
E63 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Comparative or Joint Analysis of Fiscal and Monetary Policy; Stabilization
F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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