Macroeconomic Response to Oil and Food Price Shocks: A Structural VAR Approach to the Indian Economy

The study analyzed the dynamic impact of oil and food price shocks on the macroeconomy of India, using the monthly time series data from April 1994 to May 2016 in a structural vector autoregression (SVAR) framework. Being a net food exporter and net oil importer, the economy is found to face deleterious impacts of global oil and food price shocks on its macroeconomic performance. Output responds negatively to oil and food price hikes along with their volatility and positively to the fall in these prices. Inflation responds positively to all the three transformations of shocks with no signs of coming down, highlighting the price downward inflexibility in India. The study could not establish any evidence of negative demand shocks in face of oil and food price volatility. Central bank responds with a contractionary policy stance to negate the influences of external shocks. Forecast error variance decomposition points out the dominance of external shocks in influencing the domestic variables after their own shocks. Finally, the inflation downward rigidity is observed even in the long run.     

A Structural Model of Australia as a Small Open Economy

This paper sets up and estimates a structural model of Australia as a small open economy using Bayesian techniques. Unlike other recent studies, the paper shows that a small micro-founded model can capture the open economy dimensions quite well. Specifically, the model attributes a substantial fraction of the volatility of domestic output and inflation to foreign disturbances, close to what is suggested by unrestricted VAR studies. The paper also investigates the effects of various exogenous shocks on the Australian economy.     

The Australian Economy

This article deals with developments in the Australian economy in the period from the second quarter of 1973 (the quarter for which the latest official estimates of national income and expenditure are available) through to the end of the financial year 1974–75. It was prepared in October and early November 1973.
Annual periods shown as 1971–72, 1972–73, etc. refer to years ended 30 June.     

The Australian Economy

This article deals with developments in the Australian economy in the period from the first quarter of 1970 (the quarter for which the latest official estimates of national income and expenditure are available) through to the end of the financial year 1970-71. It was prepared in July 1970 and brings up to date the forecasts for 1969-70 and 1970-71 published last May in The Australian Economic Review , Number 9, 1st Quarter 1970.
Annual periods shown as 1968-69, 1969-70 etc. refer to years ended 30 June.     

The Australian Economy

This article deals with developments in the Australian economy in 1970. It includes a discussion of inflation, the labour market, production, housing finance, wool prices and forecasts of mineral exports.     

The Australian Economy

This article deals with developments in the Australian economy in the period from the first quarter of 1969 (the quarter for which the latest official estimates of national income and expenditure are available) through to the end of the financial year 1969-70. It was prepared in July 1969 and brings up to date the forecasts for 1968-69 and 1969-70 published last April in The Australian Economic Review , Number 5, 1st Quarter 1969.
Annual periods shown as 1967-68, 1968-69 etc. refer to years ended 30 June. Money aggregates are at current prices unless indicated otherwise.     

The Australian Economy

This article deals with the 1973–74 Federal Budget and the economic context in which it was prepared.
Annual periods shown as 1971–72,1972–73, etc., refer to years ended 30 June.     

研发投入与中国经济增长:基于VAR模型的研究

我国从1988年开始才正式对研发投入进行统计,由于受到数据可得性和样本规模的限制,以往学者很难从宏观视角对我国研发投入和经济增长之间的定量关系进行深入研究。为此,根据我国1988-2006年的有关数据,建立了向量自回归模型,对我国研发投入与经济增长之间的长期均衡关系进行了检验,在协整关系存在的前提下,进一步检验了二者的格兰杰因果关系,并利用脉冲响应函数对两者的动态关系进行了分析。     

A Comparison of Four Macroeconometric Models of the Australian Economy*

For more than a decade, macroeconometric models have been used in Australia as tools in policy analysis and as aids in the task of forecasting major economic variables. Until recently, however, not much work had been done in comparing these models. Challen and Hagger (1979a, 1979b) provide a useful introduction to existing Australian models which includes a summary of simulation studies previously undertaken with these models. In the current paper, the economic content of four of these models is summarized in a simple theoretical framework. Simulation analysis is also used to examine the dynamic adjustment mechanisms associated with the theoretical structure of each model. A general conclusion of this paper is that more work is needed on model evaluation in Australia, based on a wider range of criteria than have been used in the past.     

Brookings on the Australian Economy*

This paper offers a review of two central issues of macroeconomic management, nominal wage determination and the relative roles for fiscal expansion and real wage restraint, discussed in the Brookings study of the Australian economy. Consideration is given to the book, The Australian Economy: A View from the North, edited by Richard E. Caves and Lawrence B. Krause, George Allen & Unwin, Sydney 1984, and to the January 1984 conference discussion.     

结构性冲击与中国产业经济增长--对民族地区的结构 VAR 模型实证研究

借鉴偏离-份额分析法分解产业结构增长的原理,构建结构向量自回归模型,给误差项附加结构性约束后,分析全国整体经济冲击、全国产业发展冲击、地区整体经济冲击以及地区产业经济本身的冲击对中国少数民族地区产业增长的影响。结果显示,大部分地区的产业受地区本身产业的影响最多,但不同地区和不同产业也出现独特的增长特征。各少数民族地区需根据所在地区的产业增长特点制定产业政策以提高政策效率。     

东亚货币一体化的再考察:一个多变量的结构VAR方法

本文建立了一个三变量的结构VAR模型,分别从经济冲击的对称性、经济冲击的规模和经济体对潜在经济冲击的调整速度,以及实际有效汇率对各种冲击的响应三个方面,考察了东亚国家和地区组建最适度通货区的经济可行性。实证研究发现,目前东亚经济体并不满足建立一个全面单一的最适度通货区的条件,但是分别在日本和泰国,以及韩国、马来西亚和中国台湾组建子通货区却是可行的。     

Non-Traded Goods and Real Exchange Rate Fluctuations: A Structural VAR Analysis

Real exchange rate variance decompositions indicate that only a small fraction of real exchange rate movements can be attributed to changes in the relative price between traded and non-traded goods. This paper argues that those exercises, by ignoring the nature of the shocks behind real exchange rate changes, may be inadequate to measure the relative importance of non-traded goods prices. Instead, it proposes using a structural vector autoregression (SVAR) model to study the effects of shocks to the relative supply and relative demand for non-traded goods on the real exchange rate. The SVAR model is identified via long-run restrictions and is estimated for a group of advanced economies. The results indicate that for some countries, relative supply shocks can be a significant source of real exchange rate fluctuations.     

PoJjcy and the Australian Economy, 1977

At the end of the first quarter of 1977 the available economic indicators, while as usual far from univocal, still give cause for serious concern about the health and direction of the Australian economy. With no significant expansionary factors operating in the economy in 1977 other than the revival in the mining industry and in some aspects of business investment, and the various arms of economic policy being set almost entirely in a restrictive stance, aggregate output would appear to be either flat or declining modestly at the present time. On the basis of a continuation of present policies we would anticipate growth in real non-farm GDP of only 2 to 3 per cent in both 1976–77 and 1977–78, with unemployment continuing to increase until well into 1978. Given the stimulus to inflation arising from the 1976 devaluation and from the wage effects of the Medibank changes, the rate of increase in the consumer price index would seem likely to be 14 to 15 per cent in 1977, even if a partial wage indexation policy could be sustained and whether or not a one quarter wage/price deferment comes into effect. But government pressure on the Arbitration Commission for a reduction in real wages has placed the wage indexation system in jeopardy, and there is now considerable uncertainty about the methods of wage fixation which will obtain in 1977–78. This article surveys some aspects of recent developments and considers some policy options available to the government.     

E–Commerce and the Australian Economy

This paper considers the likely impact of e–commerce and the Internet on the Australian economy. It surveys literature on the extent and development of e–commerce in Australia and its impact on the shape of the Australian economy. Evidence for the 'renewal' of the Australian economy is presented and examined, especially the question of whether Australia has enjoyed increases in productivity as a result of the production and/or use of new information and communications technology. Australia is seen as broadly well placed to benefit from the Internet and e–commerce. Traditionally isolated from the world's main economic centres and reliant on commodities in international trade, the advent of the Internet is ideal for a country in transition to a service–orientated, knowledge–based economy. As the composition of Australia's exports becomes more service–orientated and knowledge–intensive, traditional trading links with Europe and North America may strengthen relative to those with Asia.     

基于VAR模型的CCI影响因素分析

本文运用包含消费者预期指数、消费者满意指数的消费者信心指数的月度时间序列数据,利用VAR模型方法分析了消费者满意指数和预期指数的影响关系,同时,分析了它们与物价、消费、储蓄、股票市场的相互影响关系.分析结果显示:消费者满意指数和消费者预期指数有影响关系,滞后一期消费者预期指数对当期消费者满意指数和消费者预期指数都有正的影响,滞后二期的预期指数对当期满意指数有负的影响;物价指数对消费者信心指数的影响有明显的滞后,当期物价指数对下一期的满意指数和预期指数都有正的影响,对于下两期的有负的影响;无论从长期角度还是短期角度看,存款总额对消费者预期指数、消费者满意指数的影响都是正向的.同时,本文验证了消费者信心指数的信号引导功能,消费者预期指数有消费引导功能,其提升会导致以后的消费总额的增长;储蓄增长有助于信心指数的增长;股票市场对信心指数影响不显著.     

The Australian Economy after Devaluation

Before taking account of the measures announced by the government on and after 28 November 1976, the latest statistical information suggests that the economy was broadly on the course outlined in detail in Review 3'76. Both business investment and consumer demand appear to have fallen in real terms, seasonally adjusted, in the last few months. With public sector demand also weak the economy was moving Into a new period of modest decline in overall activity, so that real non-farm GDP was expected to grow by 1 to 2 per cent in 1976–77 and by only 1 per cent in calendar 1977. The rate of inflation has moderated in the first three quarters of 1976 and, in spite of the large increase in the consumer price index expected in the December quarter and the granting of full percentage wage indexation for the September quarter, the rate of inflation seemed likely to be lower in 1977 than in 1976.     

双循环背景下消费者信心对实体经济的影响——基于VAR模型的分析

消费者信心对一国实体经济的发展具有重要的作用.基于中美两国的消费者信心指数和中国的宏观经济数据,利用向量自回归模型对封闭经济和开放经济两种情形下消费者信心传导机制进行研究.结果显示:在封闭经济的情形下,消费者信心会显著影响国内实体经济的发展,对消费、产出、股票市场、利率水平和失业率带来不同程度的冲击;在开放经济的情形下,中国的消费者信心对美国的消费者信心变化具有一定的预期能力.我国经济发展具备一定内循环的独立性,对外循环的依赖性逐步下降.后疫情时代应注重国内消费升级,同时关注国际市场信心动向,防范外循环可能带来的风险.