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Contagion | US Treasury Market | Macro Modelling | International Finance | Australia

Macro Modelling

The focus in my macromodelling work is on the transmission of shocks in small open economies using Structural VAR models. The key papers are in the Economic Record and the more recent unpublished work with Adrian Pagan and Renee Fry.


Identifying Fiscal and Monetary Policy in a Small Open Economy VAR, with Renee Fry, 2008 (work in progress) pdf

The Identification of Fiscal and Monetary Policy in a Structural VAR, with Renee Fry, 2008 (work in progress) pdf | CAMA Working Paper No 29-2007

Yield Curve Responses to Monetary Policy in the Presence of Asymmetric Information, with Edda Claus, 2006 (work in progress) pdf

Revisiting an SVAR Model of the Australian Economy, Economic Record, 2009, 85(268),1-20, with Adrian Pagan pdf | Data and GAUSS Codes

Monetary Policy in Illiquid Markets: Options for a Small Open Economy, Open Economies Review, 2008, 19(3), 305-336, with Edda Claus and Renee Fry pdf

Revealed Commonality: Linkages in Consumption, Investment and Output in East Asia, in G.de Brouwer and M.Kawai (eds), 2004, Routledge, London, chapter 3

Potential Growth and Inflation: Estimates for Australia, the US and Canada, Australian Economic Review, 2004, 37(1),89-101, with John Pitchford

International Shocks on Australia - The Japanese Effect, Australian Economic Papers, 2003, 42(2),499-515, with Renee Fry

The Steady Inflation Rate of Economic Growth, Economic Record, 2000, 76,pp.386-400, with John Pitchford

A Structural VAR model of the Australian Economy, Economic Record, 2000, 76,pp.321-342, with Adrian Pagan pdf | data and code


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