The Role of International Shocks in Australia’s Business Cycle

Philip Liu ()

RBA Research Discussion Papers from Reserve Bank of Australia

Abstract: 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.

Keywords: Australian business cycle; sign restriction VAR; stabilisation policy; international shocks (search for similar items in EconPapers)
JEL-codes: E32 E52 E63 F41 (search for similar items in EconPapers)
Date: 2008-12
New Economics Papers: this item is included in nep-bec, nep-cba, nep-mac and nep-opm
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Persistent link: https://EconPapers.repec.org/RePEc:rba:rbardp:rdp2008-08

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