Cross, Jamie, Poon, Aubrey (2019) On the contribution of international shocks in Australian business cycle fluctuations. Empirical Economics, 59 . pp. 2613-2637. ISSN 0377-7332. (doi:10.1007/s00181-019-01752-y) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:103871)
The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. (Contact us about this Publication) | |
Official URL: https://doi.org/10.1007/s00181-019-01752-y |
Abstract
What proportion of Australian business cycle fluctuations are caused by international shocks? We address this question by estimating a panel VAR model that has time-varying parameters and a common stochastic volatility factor. The time-varying parameters capture the inter-temporal nature of Australia’s various bilateral trade relationships, while the common stochastic volatility factor captures various episodes of volatility clustering among macroeconomic shocks, e.g., the 1997/98 Asian Financial Crisis and the 2007/08 Global Financial Crisis. Our main result is that international shocks from Australia’s five largest trading partners: China, Japan, the EU, the USA and the Republic of Korea, have caused around half of all Australian business cycle fluctuations over the past two decades. We also find important changes in the relative importance of each country’s economic impact. For instance, China’s positive contribution increased throughout the mining boom of the 2000s, while the overall US influence has almost halved since the 1990s.
Item Type: | Article |
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DOI/Identification number: | 10.1007/s00181-019-01752-y |
Subjects: | H Social Sciences |
Divisions: | Divisions > Division of Human and Social Sciences > School of Economics |
Funders: | University of Strathclyde (https://ror.org/00n3w3b69) |
Depositing User: | Aubrey Poon |
Date Deposited: | 10 Nov 2023 05:45 UTC |
Last Modified: | 13 Nov 2023 10:40 UTC |
Resource URI: | https://kar.kent.ac.uk/id/eprint/103871 (The current URI for this page, for reference purposes) |
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