A Multi-Country Structural VAR Model
A Multi-Country Structural VAR Model
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多国结构性 VAR 模型
DOI：
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发表时间：
2000
期刊：
影响因子：
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通讯作者：
Renée Fry
中科院分区：
文献类型：
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作者：
Mardi Dungey;Renée Fry
传统上，VAR文献最多关注两个国家/地区模型。多国sVaR强调了各种国际保险对小型开放经济体的重要性。以美国和日本冲击对澳大利亚经济的影响为例，我们表明，将这两个经济体纳入国际保险，并考虑到产出变量之间可能的多重共线性，对从系统中恢复的脉冲响应的幅度有实质性的不同。
Traditionally, the VAR literature has focussed on at most two country/region models. A multi-country SVAR highlights the im- portance of various international insuences on a small open economy Using the example of the effects of US and Japanese shocks on the Aus- tralian economy we show that incorporating both of these economies as international insuences, and accounting for possible multicollinear- ity between output variables, makes a substantial difference to the amplitude of the impulse responses recovered from the system.