Identification of Common and Idiosyncratic Shocks in Real Equity Prices: Australia 1982 to 2002

Mardi Dungey and Renee Fry-McKibbin

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

Abstract: A structural vector autoregressive (SVAR) model of real equity prices in Australia is specified to contain common shocks in international equity markets and domestic shocks in Australian financial and goods markets. Common shocks are identified through the long-run comovements of international equity markets, resulting in the model being characterized as having more shocks than variables. The empirical results show that the dot-com crisis of 2000 causes Australian real equity values to depreciate significantly below a precrisis baseline forecast, while contagion from the Asian financial crisis of 1997-1998 is found to have a much smaller negative impact.

Date: 2003
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://hdl.handle.net/1885/733754338 (application/pdf)

Related works:
Journal Article: Identification of common and idiosyncratic shocks in real equity prices: Australia, 1982-2002 (2004)
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:pas:papers:2003-18

Access Statistics for this paper

More papers in Departmental Working Papers from The Australian National University, Arndt-Corden Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Prema-chandra Athukorala ().