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Industrial Impact of Economic Uncertainty Shocks in Australia
[Impact industriel des chocs D'incertitude économique en Australie]

Author

Listed:
  • Hamish Burrell
  • Joaquin Vespignani

    (UTAS - University of Tasmania [Hobart])

Abstract

Understanding the impact of economic uncertainty shocks at the industrial disaggregated level is critical for both fiscal and monetary policy response to economic uncertainty shocks. We estimate an SVAR model using quarterly Australian data from 1987:2 to 2018:4. The results of this paper emphasise that individual industries have unique responses to economic uncertainty shocks and do not necessarily reflect the response of the broader aggregate macroeconomy. We found the following stylized facts; i) The construction industry is the most negatively impacted industry by an economic uncertainty shock in terms of investment, output and employment in Australia; ii) The financial and insurance services industry also endures a substantial decline to these shocks, particularly on investment and employment indicators; iii) Economic uncertainty is shown to have less impact on the mining, health care and social assistance and public administration and safety industry, where the government plays a significant role.

Suggested Citation

  • Hamish Burrell & Joaquin Vespignani, 2020. "Industrial Impact of Economic Uncertainty Shocks in Australia [Impact industriel des chocs D'incertitude économique en Australie]," Working Papers hal-03053360, HAL.
    • Handle: RePEc:hal:wpaper:hal-03053360
    Note: View the original document on HAL open archive server: https://hal.science/hal-03053360v1
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    References listed on IDEAS

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    More about this item

    Keywords

    Economic Uncertainty; Economic Uncertainty Shocks; SVAR; Australian economy; Australian Industries JEL classification: C10; C32; E00; E30;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E00 - Macroeconomics and Monetary Economics - - General - - - General
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)

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