Chinese Liquidity Effects on the Australian Macroeconomy, 2002-2017

30 Pages Posted: 4 Jan 2019

See all articles by Richard C. K. Burdekin

Richard C. K. Burdekin

Claremont McKenna College - Robert Day School of Economics and Finance

Ran Tao

University of Wisconsin, Whitewater

Date Written: December 30, 2018

Abstract

China’s growing importance to the Australian economy has been well recognized in policy circles but remained relatively untested in formal empirical analysis. This paper examines the reactions of Australian macroeconomic variables to Chinese money growth and inflation over the post-2002 period using VAR estimation, historical decompositions and long-run cointegration models. The consistent impact of Chinese money growth on Australian inflation and on the exchange rate seen in the VAR analysis is supplemented by evidence of cointegrating relationships between the Australian variables and both Chinese money growth and Chinese inflation.

Keywords: International transmission, Australia, China, liquidity, VAR/VECM

JEL Classification: F42, F36

Suggested Citation

Burdekin, Richard C. K. and Tao, Ran, Chinese Liquidity Effects on the Australian Macroeconomy, 2002-2017 (December 30, 2018). Claremont McKenna College Robert Day School of Economics and Finance Research Paper No. 3308182. Available at SSRN: https://ssrn.com/abstract=3308182

Richard C. K. Burdekin (Contact Author)

Claremont McKenna College - Robert Day School of Economics and Finance ( email )

500 E. Ninth Street
Claremont, CA 91711
United States

Ran Tao

University of Wisconsin, Whitewater ( email )

800 West Main Street
Whitewater, WI 53190
United States
2624725447 (Phone)

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