Extending a SVAR Model of the Australian Economy

20 Pages Posted: 27 Apr 2009

See all articles by Mardi Dungey

Mardi Dungey

University of Cambridge - Cambridge Endowment for Research in Finance (CERF)

Adrian Pagan

Australian National University (ANU) - Research School of Social Sciences (RSSS); UNSW Australia Business School, School of Economics

Abstract

Dungey and Pagan (2000) present a SVAR model of the Australian economy which models macroeconomic outcomes as transitory deviations from a deterministic trend. In this paper we extend that model in two directions. First, we relate it to an emerging literature on Dynamic Stochastic General Equilibrium modelling of small open economies. Second, we allow for both transitory and permanent components in the series and show how this modification has an impact on the design of macroeconomic models.

Suggested Citation

Dungey, Mardi and Pagan, Adrian R., Extending a SVAR Model of the Australian Economy. Economic Record, Vol. 85, Issue 268, pp. 1-20, March 2009, Available at SSRN: https://ssrn.com/abstract=1376027 or http://dx.doi.org/10.1111/j.1475-4932.2008.00525.x

Mardi Dungey (Contact Author)

University of Cambridge - Cambridge Endowment for Research in Finance (CERF) ( email )

Trumpington Street
Cambridge, CB2 1AG
United Kingdom

HOME PAGE: http://www.dungey.bigpondhosting.com

Adrian R. Pagan

Australian National University (ANU) - Research School of Social Sciences (RSSS) ( email )

Canberra, Australian Capital Territory 0200
Australia
+61 2 6249 2216 (Phone)
+61 06 249 0182 (Fax)

UNSW Australia Business School, School of Economics

High Street
Sydney, NSW 2052
Australia

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