The industrial impact of monetary shocks during the inflation targeting era in Australia
AbstractIn 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 InfoPaper provided by University of Tasmania, School of Economics and Finance in its series Working Papers with number 2012-12.
Length: 32 pages
Date of creation: 17 Jan 2013
Date of revision: 17 Jan 2013
Publication status: Published by the University of Tasmania. Discussion paper 2012-12
Monetary shocks; Industrial response; Industrial composition and VAR model;
Other versions of this item:
- Vespignani, Joaquin L., 2012. "The industrial impact of monetary shocks during the inflation targeting era in Australia," MPRA Paper 43686, University Library of Munich, Germany, revised 01 Jan 2013.
- E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-08-23 (All new papers)
- NEP-CBA-2013-08-23 (Central Banking)
- NEP-MAC-2013-08-23 (Macroeconomics)
- NEP-MON-2013-08-23 (Monetary Economics)
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