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An Empirical Note on the Influence of the US Stock Market on Australian Economic Activity

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  • Nicolas De Roos
  • Bill Russell

Abstract

This paper empirically examines the impact of the US stock market on Australian economic activity as one explanation of the strong correlation in the Australian and US business cycles. It is found that both the US and Australian share markets appear to have a significant impact on Australian activity.

Suggested Citation

  • Nicolas De Roos & Bill Russell, 2000. "An Empirical Note on the Influence of the US Stock Market on Australian Economic Activity," Australian Economic Papers, Wiley Blackwell, vol. 39(3), pages 291-300, September.
    • Handle: RePEc:bla:ausecp:v:39:y:2000:i:3:p:291-300
    DOI: 10.1111/1467-8454.00092
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    References listed on IDEAS

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    1. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
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    5. Geske, Robert & Roll, Richard, 1983. "The Fiscal and Monetary Linkage between Stock Returns and Inflation," Journal of Finance, American Finance Association, vol. 38(1), pages 1-33, March.
    6. John Pitchford, 1993. "The Exchange Rate and Macroeconomic Policy in Australia," RBA Annual Conference Volume (Discontinued), in: Adrian Blundell-Wignall (ed.),The Exchange Rate, International Trade and the Balance of Payments, Reserve Bank of Australia.
    7. repec:bla:ecorec:v:52:y:1976:i:138:p:137-65 is not listed on IDEAS
    8. Pitchford, J., 1992. "Macroeconomic Policy Issues of the 1990s," CEPR Discussion Papers 263, Centre for Economic Policy Research, Research School of Economics, Australian National University.
    9. Paul D. McNelis, 1993. "The Response of Australian Stock, Foreign Exchange and Bond Markets to Foreign Asset Returns and Volatilities," RBA Research Discussion Papers rdp9301, Reserve Bank of Australia.
    10. Nicolas de Roos & Bill Russell, 1996. "Towards an Understanding of Australia’s Co-movement with Foreign Business Cycles," RBA Research Discussion Papers rdp9607, Reserve Bank of Australia.
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    Cited by:

    1. Mansur, Alfan & Liu, Yichang & Zaman, Kazi Arif Uz, 2015. "Portfolio Shocks and the Dynamics of the Real Economy of Australia (1980-2014): A Structural Vector Autoregressive Model Approach," MPRA Paper 93992, University Library of Munich, Germany, revised 17 May 2015.
    2. Ibrahim, M.H, 2004. "A VAR Analysis of US and Japanese Effects on Malaysian Aggregate and Sectoral Output," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 1(1), pages 5-28.
    3. Dungey, Mardi & Fry, Renee & Martin, Vance L., 2004. "Identification of common and idiosyncratic shocks in real equity prices: Australia, 1982-2002," Global Finance Journal, Elsevier, vol. 15(1), pages 81-102.

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