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International SVAR Factor Modelling

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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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
Contact details of provider: Postal: GPO Box 2434, BRISBANE QLD 4001
Web page: http://www.bus.qut.edu.au/faculty/economics/
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  1. Garratt, A. & Lee, K. & Pesaran, M. H. & Shin, Y., 1998. "A Long-run Structural Macro-econometric Model of the UK," Cambridge Working Papers in Economics 9812, Faculty of Economics, University of Cambridge.
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  5. repec:cup:cbooks:9780521321969 is not listed on IDEAS
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  8. Harding, Don & Pagan, Adrian, 2002. "Dissecting the cycle: a methodological investigation," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 365-381, March.
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  13. Ghysels, Eric, 1994. "On the Periodic Structure of the Business Cycle," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 289-98, July.
  14. Fabio Canova, 1994. "Does detrending matter for the determination of the reference cycle and the selection of turning points?," Economics Working Papers 113, Department of Economics and Business, Universitat Pompeu Fabra, revised Mar 1995.
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  18. Dungey, Mardi & Pagan, Adrian, 2000. "A Structural VAR Model of the Australian Economy," The Economic Record, The Economic Society of Australia, vol. 76(235), pages 321-42, December.
  19. M. Ayhan Kose & Christopher Otrok & Charles H. Whiteman, 2003. "International Business Cycles: World, Region, and Country-Specific Factors," American Economic Review, American Economic Association, vol. 93(4), pages 1216-1239, September.
  20. Nicolas de Roos & Bill Russell, 1996. "Towards an Understanding of Australia’s Co-movement with Foreign Business Cycles," RBA Research Discussion Papers rdp9607, Reserve Bank of Australia.
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  22. Jordan Shan & Nick Pappas, 2000. "The relative impacts of Japanese and US interest rates on local interest rates in Australia and Singapore: a Granger causality test," Applied Financial Economics, Taylor & Francis Journals, vol. 10(3), pages 291-298.
  23. Ilse Mintz, 1972. "Dating American Growth Cycles," NBER Chapters, in: Economic Research: Retrospect and Prospect, Volume 1, The Business Cycle Today, pages 39-88 National Bureau of Economic Research, Inc.
  24. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
  25. Felmingham, Bruce & Qing, Zhang & Healy, Tanya, 2000. "The Interdependence of Australian and Foreign Real Interest Rates," The Economic Record, The Economic Society of Australia, vol. 76(233), pages 163-71, June.
  26. Kim, Suk-Joong & Sheen, Jeffrey, 1998. "International Linkages and Macroeconomic News Effects on Interest Rate Volatility - Australia and the US'," Working Papers 11, University of Sydney, School of Economics.
  27. J. Michael Durland & Thomas H. McCurdy, 1993. "Duration Dependent Transitions in a Markov Model of U.S. GNP Growth," Working Papers 887, Queen's University, Department of Economics.
  28. Gerlach, Stefan & Klock, John, 1988. "State-space estimates of international business cycles," Economics Letters, Elsevier, vol. 28(3), pages 231-234.
  29. Artis, Michael J & Kontolemis, Zenon G & Osborn, Denise R, 1997. "Business Cycles for G7 and European Countries," The Journal of Business, University of Chicago Press, vol. 70(2), pages 249-79, April.
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