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

by Dungey, Mardi & Pagan, Adrian

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  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. Hans-Martin Krolzig, 2003. "General-to-Specific Model Selection Procedures for Structural Vector Autoregressions," Economics Papers 2003-W15, Economics Group, Nuffield College, University of Oxford.
  7. 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.
  8. Eric M. Leeper & Tao Zha, 2002. "Empirical Analysis of Policy Interventions," NBER Working Papers 9063, National Bureau of Economic Research, Inc.
  9. 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.
  10. Dungey, Mardi & Fry-McKibbin, Renée & Linehan, Verity, 2013. "Chinese resource demand and the natural resource supplier," Working Papers 17027, University of Tasmania, School of Economics and Finance, revised 01 Jul 2013.
  11. Adrian Pagan, 2010. "Can Turkish Recessions Be Predicted?," Koç University-TUSIAD Economic Research Forum Working Papers 1027, Koc University-TUSIAD Economic Research Forum.
  12. Shawn Chen-Yu Leu, 2006. "A New Keynesian Perspective of Monetary Policy in Australia," Working Papers 2006.01, School of Economics, La Trobe University.
  13. 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.
  14. 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.
  15. 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(1-2), pages 1-12, January.
  16. K. Arin & Sam Jolly, 2005. "Trans-Tasman Transmission of Monetary Shocks: Evidence From a VAR Approach," Atlantic Economic Journal, International Atlantic Economic Society, vol. 33(3), pages 267-283, September.
  17. Joaquin L. Vespignani, 2013. "The Industrial Impact of Monetary Shocks During the Inflation-Targeting Era in A ustralia," Australian Economic History Review, Economic History Society of Australia and New Zealand, vol. 53(1), pages 47-71, 03.
  18. Wilson Au-Yeung & Jason McDonald & Amanda Sayegh, 2006. "Australian Government Balance Sheet Management," NBER Working Papers 12302, National Bureau of Economic Research, Inc.
  19. de Silva, Ashton, 2008. "Forecasting macroeconomic variables using a structural state space model," MPRA Paper 11060, University Library of Munich, Germany.
  20. Rod Tyers & Jenny Corbett, 2011. "Japan's Economic Slowdown and its Global Implications: A Review of the Economic Modelling," Economics Discussion / Working Papers 11-19, The University of Western Australia, Department of Economics.
  21. Luis Catão & Adrian Pagan, 2010. "The Credit Channel and Monetary Transmission in Brazil and Chile: A Structured VAR Approach," NCER Working Paper Series 53, National Centre for Econometric Research.
  22. Nathan McLellan & Robert A Buckle & Kunhong Kim, 2004. "The impact of monetary policy on New Zealand business cycles and inflation variability," Econometric Society 2004 Far Eastern Meetings 594, Econometric Society.
  23. 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.
  24. 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.
  25. 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.
  26. 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.
  27. 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.
  28. Narayan, Paresh Kumar, 2008. "An investigation of the behaviour of Australia's business cycle," Economic Modelling, Elsevier, vol. 25(4), pages 676-683, July.
  29. Qin, Duo & Cagas, Marie Anne & Quising, Pilipinas & He, Xin-Hua, 2006. "How much does investment drive economic growth in China?," Journal of Policy Modeling, Elsevier, vol. 28(7), pages 751-774, October.
  30. 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.
  31. Alfred A Haug & Christie Smith, 2007. "Local linear impulse responses for a small open economy," Reserve Bank of New Zealand Discussion Paper Series DP2007/09, Reserve Bank of New Zealand.
  32. 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.
  33. Timo WOLLMERSHAEUSER, . "Should Central Banks React to Exchange Rate Movements? An Analysis of the Robustness of Simple Policy Rules under Exchange Rate Uncertainty," EcoMod2004 330600161, EcoMod.
  34. 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.
  35. de Silva, Ashton J, 2010. "Forecasting Australian Macroeconomic variables, evaluating innovations state space approaches," MPRA Paper 27411, University Library of Munich, Germany.
  36. Paul Cashin & Sam Ouliaris, 2001. "Key Features of Australian Business Cycles," IMF Working Papers 01/171, International Monetary Fund.
  37. Leu, Shawn, 2004. "A New Keynesian Perspective of Monetary Policy Implementation in Austr alia," Working Papers 1, University of Sydney, School of Economics.
  38. Harding, Don & Pagan, Adrian, 2001. "Extracting, Using and Analysing Cyclical Information," MPRA Paper 15, University Library of Munich, Germany.
  39. Mardi Dungey & Adrian Pagan, 2009. "Extending a SVAR Model of the Australian Economy," The Economic Record, The Economic Society of Australia, vol. 85(268), pages 1-20, 03.
  40. 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.
  41. Kristoffer Nimark, 2009. "A structural model of Australia as a small open economy," Economics Working Papers 1211, Department of Economics and Business, Universitat Pompeu Fabra.
  42. 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.
  43. 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.
  44. Adrian Pagan & Don Harding, 2011. "Econometric Analysis and Prediction of Recurrent Events," CREATES Research Papers 2011-33, School of Economics and Management, University of Aarhus.
  45. Meredith Beechey & P�R �Sterholm, 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.
  46. 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.
  47. Fathi Elachhab, 2009. "Décrire le cycle économique en Tunisie," Économie et Prévision, Programme National Persée, vol. 189(3), pages 75-92.
  48. 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.
  49. Vespignani, Joaquin L. & Knop, Stephen J, 2014. "The sectorial impact of commodity price shocks in Australia," MPRA Paper 55435, University Library of Munich, Germany.
  50. 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.
  51. Richard Dennis, 2002. "Exploring the role of the real exchange rate in Australian monetary policy," Working Paper Series 2002-19, Federal Reserve Bank of San Francisco.
  52. 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.
  53. Thomas Lubik, 2006. "A simple, structural, and empirical model of the antipodean transmission mechanism," New Zealand Economic Papers, Taylor & Francis Journals, vol. 40(2), pages 91-126.
  54. A.H.J. den Reijer, 2002. "International Business Cycle Indicators, Measurement and Forecasting," WO Research Memoranda (discontinued) 689, Netherlands Central Bank, Research Department.
  55. 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.
  56. 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.
  57. Vladimir Klyuev, 2008. "Real Implications of Financial Linkages Between Canada and the United States," IMF Working Papers 08/23, International Monetary Fund.
  58. 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.
  59. 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.
  60. 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.
  61. 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.
  62. Aleš Melecký & Martin Melecký, 2012. "The Impact of Macroeconomic Shocks on the Government Debt Dynamics: How Robust is the Fiscal Stance of the Czech Republic?," Politická ekonomie, University of Economics, Prague, vol. 2012(6), pages 723-742.
  63. 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.
  64. 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.
  65. 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.
  66. 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.
  67. 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.
  68. 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.
  69. Apergis, Nicholas, 2014. "Can gold prices forecast the Australian dollar movements?," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 75-82.
  70. 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.
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