The Role of International Shocks in Australia’s Business Cycle

This paper examines the sources of Australia’s business cycle fluctuations. The cyclical component of GDP is extracted using the Beveridge-Nelson decomposition and a structural VAR model is identified using robust sign restrictions derived from a small open economy model. In contrast to previous VAR studies, international factors are found to contribute to over half of the output forecast errors, whereas demand shocks have relatively modest effects.

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Year of publication:	2008-12
Authors:	Liu, Philip
Institutions:	Reserve Bank of Australia
Subject:	Australian business cycle \| sign restriction VAR \| stabilisation policy \| international shocks

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Extent:	application/pdf
Series:	RBA Research Discussion Papers. - ISSN 1448-5109.
Type of publication:	Book / Working Paper
Classification:	E32 - Business Fluctuations; Cycles ; E52 - Monetary Policy (Targets, Instruments, and Effects) ; E63 - Comparative or Joint Analysis of Fiscal and Monetary Policy; Stabilization ; F41 - Open Economy Macroeconomics
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005423551