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Citations for "A Structural VAR Model of the Australian Economy"

by Dungey, Mardi & Pagan, Adrian

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  1. Fathi Elachhab, 2009. "Décrire le cycle économique en Tunisie," Économie et Prévision, Programme National Persée, vol. 189(3), pages 75-92.
  2. Dąbrowski, Marek A. & Wróblewska, Justyna, 2016. "Exchange rate as a shock absorber in Poland and Slovakia: Evidence from Bayesian SVAR models with common serial correlation," Economic Modelling, Elsevier, vol. 58(C), pages 249-262.
  3. Paolo Giordani, 2004. "Evaluating New-Keynesian Models of a Small Open Economy," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(s1), pages 713-733, 09.
  4. Adrian Pagan, 2010. "Can Turkish Recessions be Predicted?," NCER Working Paper Series 63, National Centre for Econometric Research.
  5. Lei Lei Song & John Freebairn, 2004. "ow Big Was the Effect of Budget Consolidation on the Australian Economy in the 1990s?," Melbourne Institute Working Paper Series wp2004n30, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  6. Abdul Karim, Zulkefly & Zaidi, Mohd Azlan Shah & W.N.W, Azman-Saini, 2011. "Relative price effects of monetary policy shock in Malaysia: a svar study," MPRA Paper 38768, University Library of Munich, Germany.
  7. Eric M. Leeper & Tao Zha, 2002. "Empirical analysis of policy interventions," Proceedings, Federal Reserve Bank of San Francisco, issue Mar, pages -.
  8. Mala Raghavan & Mardi Dungey, 2015. "Should ASEAN-5 monetary policy-makers act pre-emptively against stock market bubbles?," Applied Economics, Taylor & Francis Journals, vol. 47(11), pages 1086-1105, March.
  9. Heidari, Hassan, 2010. "An Estimated Small Open Economy New-Keynesian Model of the Australian Economy," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 7-15, December.
  10. Adrian Pagan & Don Harding, 2011. "Econometric Analysis and Prediction of Recurrent Events," CREATES Research Papers 2011-33, Department of Economics and Business Economics, Aarhus University.
  11. Claus, Iris, 2011. "Inside the black box: How important is the credit channel relative to the interest and exchange rate channels?," Economic Modelling, Elsevier, vol. 28(1), pages 1-12.
  12. Robert A Buckle & Kunhong Kim & Nathan McLellan, 2003. "The impact of monetary policy on New Zealand business cycles and inflation variability," Treasury Working Paper Series 03/09, New Zealand Treasury.
  13. Jarkko P. Jääskelä & Kristoffer Nimark, 2011. "A Medium‐Scale New Keynesian Open Economy Model of Australia," The Economic Record, The Economic Society of Australia, vol. 87(276), pages 11-36, March.
  14. Waggoner, Daniel F. & Zha, Tao, 2003. "A Gibbs sampler for structural vector autoregressions," Journal of Economic Dynamics and Control, Elsevier, vol. 28(2), pages 349-366, November.
  15. Edda Claus & Mardi Dungey & Renée Fry, 2008. "Monetary Policy in Illiquid Markets: Options for a Small Open Economy," Open Economies Review, Springer, vol. 19(3), pages 305-336, July.
  16. Duo Qin & Marie Anne Cagas & Pilipinas Quising & Xin-Hua He, 2005. "How Much Does Investment Drive Economic Growth in China?," Working Papers 545, Queen Mary University of London, School of Economics and Finance.
  17. Dean Scrimgeour, 2001. "Exchange rate volatility and Currency Union: Some theory and New Zealand evidence," Reserve Bank of New Zealand Discussion Paper Series DP2001/04, Reserve Bank of New Zealand.
  18. Leu, Shawn Chen-Yu, 2011. "A New Keynesian SVAR model of the Australian economy," Economic Modelling, Elsevier, vol. 28(1-2), pages 157-168, January.
  19. Furlani, Luiz Gustavo Cassilatti & Portugal, Marcelo Savino & Laurini, Márcio Poletti, 2010. "Exchange rate movements and monetary policy in Brazil: Econometric and simulation evidence," Economic Modelling, Elsevier, vol. 27(1), pages 284-295, January.
  20. Richard Dennis, 2003. "Exploring the Role of the Real Exchange Rate in Australian Monetary Policy," The Economic Record, The Economic Society of Australia, vol. 79(244), pages 20-38, 03.
  21. Buckle, Robert A. & Kim, Kunhong & Kirkham, Heather & McLellan, Nathan & Sharma, Jarad, 2007. "A structural VAR business cycle model for a volatile small open economy," Economic Modelling, Elsevier, vol. 24(6), pages 990-1017, November.
  22. Mala Raghavan & George Athanasopoulos & Param Silvapulle, 2013. "Canadian Monetary Policy Analysis using a Structural VARMA Model," Monash Econometrics and Business Statistics Working Papers 4/13, Monash University, Department of Econometrics and Business Statistics.
  23. Osborn, Denise R. & Vehbi, Tugrul, 2015. "Growth in China and the US: Effects on a small commodity exporter economy," Economic Modelling, Elsevier, vol. 45(C), pages 268-277.
  24. Muhammad Arshad Khan & Ayaz Ahmed, 2011. "Macroeconomic Effects of Global Food and Oil Price Shocks to the Pakistan Economy: A Structural Vector Autoregressive (SVAR) Analysis," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 50(4), pages 491-511.
  25. Hans-Martin Krolzig, 2003. "General-to-Specific Model Selection Procedures for Structural Vector Autoregressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 769-801, December.
  26. Rod Tyers & Jenny Corbett, 2012. "Japan's economic slowdown and its global implications: a review of the economic modelling," Asian-Pacific Economic Literature, Asia Pacific School of Economics and Government, The Australian National University, vol. 26(2), pages 1-28, November.
  27. Kristoffer Nimark, 2007. "A Structural Model of Australia as a Small Open Economy," RBA Research Discussion Papers rdp2007-01, Reserve Bank of Australia.
  28. Luis Catão; & Adrian Pagan, 2010. "The Credit Channel and Monetary Transmission in Brazil and Chile: A Structural VAR Approach," Working Papers Central Bank of Chile 579, Central Bank of Chile.
  29. Alfred A. Haug & Christie Smith, 2012. "Local Linear Impulse Responses for a Small Open Economy," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(3), pages 470-492, 06.
  30. A. R. Pagan & Douglas Laxton & Luis Catão, 2008. "Monetary Transmission in an Emerging Targeter; The Case of Brazil," IMF Working Papers 08/191, International Monetary Fund.
  31. Leu, Shawn, 2004. "A New Keynesian Perspective of Monetary Policy Implementation in Austr alia," Working Papers 1, University of Sydney, School of Economics.
  32. Dungey, Mardi & Vehbi, Tugrul, 2015. "The influences of international output shocks from the US and China on ASEAN economies," Journal of Asian Economics, Elsevier, vol. 39(C), pages 59-71.
  33. Thomas A Lubik, 2005. "A Simple, Structural, and Empirical Model of the Antipodean Transmission Mechanism," Reserve Bank of New Zealand Discussion Paper Series DP2005/06, Reserve Bank of New Zealand.
  34. Hyeon-Seung Huh, 2005. "A simple test of exogeneity for recursively structured VAR models," Applied Economics, Taylor & Francis Journals, vol. 37(20), pages 2307-2313.
  35. de Silva, Ashton J, 2010. "Forecasting Australian Macroeconomic variables, evaluating innovations state space approaches," MPRA Paper 27411, University Library of Munich, Germany.
  36. Sebastian Sosa, 2008. "External Shocks and Business Cycle Fluctuations in Mexico; How Important are U.S. Factors?," IMF Working Papers 08/100, International Monetary Fund.
  37. Alejandro Justiniano, 2004. "Sources and Propagation Mechanims of Foreign Disturbances in Small Open Economies: A Dynamic Factor Analysis," Econometric Society 2004 Latin American Meetings 148, Econometric Society.
  38. Zulkefly Abdul Karim & Mohd Azlan Shah Zaidi, 2015. "Monetary Policy, Firm Size and Equity Returns in An Emerging Market: Panel Evidence of Malaysia," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 11(2), pages 29-55.
  39. Gustafsson, Peter & Stockhammar, Pär & Österholm, Pär, 2016. "Macroeconomic effects of a decline in housing prices in Sweden," Journal of Policy Modeling, Elsevier, vol. 38(2), pages 242-255.
  40. Edda Claus & Iris Claus, 2007. "Transmitting Shocks To The Economy: The Contribution Of Interest And Exchange Rates And The Credit Channel," CAMA Working Papers 2007-03, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  41. Lei Lei Song & John Freebairn & Don Harding, 2001. "Policy Options to Reduce Unemployment: TRYM Simulations," Melbourne Institute Working Paper Series wp2001n19, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  42. Shawn Chen-Yu Leu, 2006. "A New Keynesian Perspective of Monetary Policy in Australia," Working Papers 2006.01, School of Economics, La Trobe University.
  43. Vespignani, Joaquin L., 2011. "On the differential impact of monetary policy across states/territories and its determinants in Australia: Evidence and new methodology from a small open economy," MPRA Paper 44998, University Library of Munich, Germany.
  44. Vespignani, Joaquin L., 2013. "The industrial impact of monetary shocks during the inflation targeting era in Australia," Working Papers 2012-12, University of Tasmania, Tasmanian School of Business and Economics, revised 17 Jan 2013.
  45. Renee Fry, 2002. "International SVAR Factor Modelling," School of Economics and Finance Discussion Papers and Working Papers Series 109, School of Economics and Finance, Queensland University of Technology.
  46. Renee Fry, 2004. "International demand and liquidity shocks in a SVAR model of the Australian economy," Applied Economics, Taylor & Francis Journals, vol. 36(8), pages 849-863.
  47. Adebayo Augustine Kutu & Harold Ngalawa, 2016. "Monetary Policy Shocks And Industrial Output In Brics Countries," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 66(3), pages 3-24, July-Sept.
  48. Paul Cashin & Sam Ouliaris, 2001. "Key Features of Australian Business Cycles," IMF Working Papers 01/171, International Monetary Fund.
  49. Wilson Au-Yeung & Jason McDonald & Amanda Sayegh, 2006. "Australian Government Balance Sheet Management," NBER Working Papers 12302, National Bureau of Economic Research, Inc.
  50. Robert A Buckle & Kunhong Kim & Heather Kirkham & Nathan McLellan & Jared Sharma, 2002. "A structural VAR model of the New Zealand business cycle," Treasury Working Paper Series 02/26, New Zealand Treasury.
  51. Mardi Dungey & Renée Fry-McKibbin & Verity Linehan, 2013. "Chinese Resource Demand and the Natural Resource Supplier," CAMA Working Papers 2013-54, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  52. Aron, Janine & Muellbauer, John, 2002. "Interest Rate Effects on Output: Evidence from a GDP Forecasting Model for South Africa," CEPR Discussion Papers 3595, C.E.P.R. Discussion Papers.
  53. Narayan, Paresh Kumar, 2008. "An investigation of the behaviour of Australia's business cycle," Economic Modelling, Elsevier, vol. 25(4), pages 676-683, July.
  54. Daniel Buncic & Martin Melecky, 2008. "An Estimated New Keynesian Policy Model for Australia," The Economic Record, The Economic Society of Australia, vol. 84(264), pages 1-16, 03.
  55. Mardi Dungey & Adrian Pagan, 2008. "Extending an SVAR Model of the Australian Economy," NCER Working Paper Series 21, National Centre for Econometric Research.
  56. Knop, Stephen J. & Vespignani, Joaquin L., 2014. "The sectorial impact of commodity price shocks in Australia," Economic Modelling, Elsevier, vol. 42(C), pages 257-271.
  57. Melecky, Ales & Melecky, Martin, 2012. "Vliv makroekonomických šoků na dynamiku vládního dluhu: jak robustní je fiskální pozice České republiky?
    [The Impact of Macroeconomic Shocks on the Government Debt Dynamics: How Robust is the Fisca
    ," MPRA Paper 39761, University Library of Munich, Germany.
  58. Philip Liu, 2007. "Stabilizing The Australian Business Cycle: Good Luck Or Good Policy?," CAMA Working Papers 2007-24, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  59. Sharma, Anurag & Jha, Raghbendra, 2012. "Fiscal deficits, banking crises and policy reversal in a semi-open economy," Economic Modelling, Elsevier, vol. 29(2), pages 271-282.
  60. K. Arin & Sam Jolly, 2005. "Trans-Tasman Transmission of Monetary Shocks: Evidence From a VAR Approach," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 33(3), pages 267-283, September.
  61. Dungey, Mardi & Fry, Renée, 2009. "The identification of fiscal and monetary policy in a structural VAR," Economic Modelling, Elsevier, vol. 26(6), pages 1147-1160, November.
  62. de Silva, Ashton, 2008. "Forecasting macroeconomic variables using a structural state space model," MPRA Paper 11060, University Library of Munich, Germany.
  63. Mala Raghavan & George Athanasopoulos & Param Silvapulle, 2009. "VARMA models for Malaysian Monetary Policy Analysis," Monash Econometrics and Business Statistics Working Papers 6/09, Monash University, Department of Econometrics and Business Statistics.
  64. Atsushi Ishikawa & Koichiro Kamada & Yoshiyuki Kurachi & Kentaro Nasu & Yuki Teranishi, 2012. "Introduction to the Financial Macro-econometric Model," Bank of Japan Working Paper Series 12-E-1, Bank of Japan.
  65. Ahmad, A.H. & Pentecost, Eric J., 2012. "Identifying aggregate supply and demand shocks in small open economies: Empirical evidence from African countries," International Review of Economics & Finance, Elsevier, vol. 21(1), pages 272-291.
  66. Philippe D Karam & A. R. Pagan, 2008. "A Small Structural Monetary Policy Model for Small Open Economies with Debt Accumulation," IMF Working Papers 08/64, International Monetary Fund.
  67. Harding, Don & Pagan, Adrian, 2001. "Extracting, Using and Analysing Cyclical Information," MPRA Paper 15, University Library of Munich, Germany.
  68. Timo WOLLMERSHAEUSER, "undated". "Should Central Banks React to Exchange Rate Movements? An Analysis of the Robustness of Simple Policy Rules under Exchange Rate Uncertainty," EcoMod2004 330600161, EcoMod.
  69. Fathi, Elachhab, 2007. "Une analyse historiographique des causes du cycle économique en Tunisie," L'Actualité Economique, Société Canadienne de Science Economique, vol. 83(3), pages 359-397, septembre.
  70. Kwamie Dunbar, 2008. "The Impact of the FOMC's Monetary Policy Actions on the growth of Credit Risk: the Monetary Policy - Liquidity Paradox," Working papers 2008-05, University of Connecticut, Department of Economics.
  71. Apergis, Nicholas, 2014. "Can gold prices forecast the Australian dollar movements?," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 75-82.
  72. Iris Claus & Aaron Gill & Boram Lee & Nathan McLellan, 2006. "An empirical investigation of fiscal policy in New Zealand," Treasury Working Paper Series 06/08, New Zealand Treasury.
  73. Vespignani, Joaquin L., 2015. "On the differential impact of monetary policy across states/territories and its determinants in Australia: Evidence and new methodology from a small open economy," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 1-13.
  74. Voss, G.M. & Willard, L.B., 2009. "Monetary policy and the exchange rate: Evidence from a two-country model," Journal of Macroeconomics, Elsevier, vol. 31(4), pages 708-720, December.
  75. Muhammad Khan, 2013. "Inflation and Sectoral Output Growth Variability in Bulgaria," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 55(4), pages 687-704, December.
  76. Zulkefly Abdul Karim & Bakri Abdul Karim, 2016. "Foreign Shocks, Monetary Policy, and Macroeconomic Fluctuations in a Small Open Economy: A SVAR Study of Malaysia," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 12(3), pages 45-67, JUNE.
  77. Meredith Beechey & Pär Österholm, 2008. "A Bayesian Vector Autoregressive Model with Informative Steady-state Priors for the Australian Economy," The Economic Record, The Economic Society of Australia, vol. 84(267), pages 449-465, December.
  78. Vladimir Klyuev, 2008. "Real Implications of Financial Linkages Between Canada and the United States," IMF Working Papers 08/23, International Monetary Fund.
  79. Dungey, Mardi & Fry, Renee, 2000. "A Multi-Country Structural VAR Model," Departmental Working Papers 2001-04, The Australian National University, Arndt-Corden Department of Economics.
  80. Sebastian Sosa & Paul Cashin, 2009. "Macroeconomic Fluctuations in the Caribbean; The Role of Climatic and External Shocks," IMF Working Papers 09/159, International Monetary Fund.
  81. Finlay, Richard & Jääskelä, Jarkko P., 2014. "Credit supply shocks and the global financial crisis in three small open economies," Journal of Macroeconomics, Elsevier, vol. 40(C), pages 270-276.
  82. Edda Claus & Mardi Dungey & Renee Fry, 2006. "Monetary Policy In Illiquid Markets: Options For A Small Open Economy," CAMA Working Papers 2006-17, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  83. A.H.J. den Reijer, 2002. "International Business Cycle Indicators, Measurement and Forecasting," WO Research Memoranda (discontinued) 689, Netherlands Central Bank, Research Department.
  84. Lee, Hyun-Hoon & Huh, Hyeon-Seung & Harris, David, 2003. "The relative impact of the US and Japanese business cycles on the Australian economy," Japan and the World Economy, Elsevier, vol. 15(1), pages 111-129, January.
  85. repec:dug:journl:y:2016:i:3:p:45-67 is not listed on IDEAS
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