A Multi-Country Structural VAR Model

Mardi Dungey and Renee Fry-McKibbin

Departmental Working Papers from The Australian National University, Arndt-Corden Department of Economics

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.

Keywords: structural VAR; open economy; international shocks (search for similar items in EconPapers)
Pages: 35 pages
Date: 2000-11
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:pas:papers:2001-04

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