EconPapers    
Economics at your fingertips  
 

A Bayesian Vector Autoregressive Model with Informative Steady-state Priors for the Australian Economy

Meredith Beechey () and Pär Österholm ()

The Economic Record, 2008, vol. 84, issue 267, 449-465

Abstract: This article applies a Bayesian vector autoregressive model with informative steady-state priors to a parsimonious model of the Australian economy. The model captures economic linkages among key Australian and US variables and is estimated on quarterly data from 1985 to 2006. An out-of-sample forecast exercise shows that the model with informative steady-state priors generally outperforms a traditional Bayesian vector autoregressive model as well as naïve forecasts. The model can also be used to generate density forecasts and analyse alternative scenarios, which we illustrate with the effect on the Australian economy of a substantial real depreciation of the US dollar. Copyright © 2008 The Economic Society of Australia.

Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9) Track citations by RSS feed

Downloads: (external link)
http://www.blackwell-synergy.com/servlet/useragent ... &year=2008&part=null link to full text (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:ecorec:v:84:y:2008:i:267:p:449-465

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0013-0249

Access Statistics for this article

The Economic Record is currently edited by Paul Miller, Glenn Otto and Martin Richardson

More articles in The Economic Record from The Economic Society of Australia Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2019-10-16
Handle: RePEc:bla:ecorec:v:84:y:2008:i:267:p:449-465