A New Keynesian SVAR model of the Australian economy

Author(s)
Leu, Shawn
Publication Date
2011
Abstract
We estimate an SVAR model for the Australian economybased on an open economy New Keynesian model that accounts for the forward-looking behaviour exhibited by economic agents. Deep structural parameters are identified by placing exclusion restrictions on the VAR residuals and the covariance matrix. Dynamic responses show no price and exchange rate puzzles and indicate that the Reserve Bank of Australia (RBA) stabilises output fluctuations in the short run while maintaining a medium-run inflation target since 1984. Aggregate demand shocks are found to be driven by external demands. The RBA exercises caution in responding to aggregate supply shocks
Citation
Economic Modelling, 28(1-2), p. 157-168
ISSN
1873-6122
0264-9993
Link
Publisher
Elsevier BV
Title
A New Keynesian SVAR model of the Australian economy
Type of document
Journal Article
Entity Type
Publication

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