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A Multi-Country Structural VAR Model

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  • Dungey, Mardi
  • Fry, Renee

Abstract

Traditionally, the VAR literature has focussed on at most two country/region models. A multi-country SVAR highlights the im- portance of various international inßuences on a small open economy Using the example of the effects of US and Japanese shocks on the Aus- tralian economy we show that incorporating both of these economies as international inßuences, and accounting for possible multicollinear- ity between output variables, makes a substantial difference to the amplitude of the impulse responses recovered from the system.

Suggested Citation

  • 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.
    • Handle: RePEc:pas:papers:2001-04
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    File URL: https://crawford.anu.edu.au/acde/publications/publish/papers/wp2001/MarchWP04_2001.pdf
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    References listed on IDEAS

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    Cited by:

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    2. 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.
    3. Mardi Dungey, 2002. "International Shocks and the Role of Domestic Policy in Australia," Australian Journal of Labour Economics (AJLE), Bankwest Curtin Economics Centre (BCEC), Curtin Business School, vol. 5(2), pages 143-163, June.
    4. 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.

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