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International linkages between financial and real economy cycles

Title
International linkages between financial and real economy cycles
Funding
ARC | Linkage International
Contract (GA) number
LX0561266
Start Date
2005/01/01
End Date
2007/12/31
Open Access mandate
no
Organizations
-
More information
http://purl.org/au-research/grants/arc/LX0561266

 

  • CONSTRUCTING HISTORICAL EURO AREA DATA

    Heather Anderson; Mardi Dungey; Denise R. Osborn; Farshid Vahid (2007)
    Projects: ARC | International linkages between financial and real economy cycles (LX0561266)
    Time series analysis for the Euro Area requires the availability of sufficiently long historical data series, but the appropriate construction methodology has received little attention. The benchmark dataset, developed by the European Central Bank for use in its Area Wide Model (AWM), is based on fixed-weight aggregation across countries with historically distinct monetary policies and financial markets of varying international importance. This paper proposes a new methodology, based on the h...

    Financial Integration and the Construction of Historical Financial Data for the Euro Area

    Heather M. Anderson; Mardi Dungey; Denise R Osborn; Farshid Vahid (2010)
    Projects: ARC | International linkages between financial and real economy cycles (LX0561266)
    Time series analysis for the Euro Area requires the availability of sufficiently long historical data series, but the appropriate construction methodology has received little attention. The benchmark dataset, developed by the European Central Bank for use in its Area Wide Model (AWM), is based on fixed-weight aggregation across countries with historically distinct monetary policies and financial markets of varying international importance. This paper proposes a new methodology for producing b...

    Modelling International Linkages for Large Open Economies: US and Euro Area

    Empirical modelling of the international linkages between the Euro Area and the US requires an open economy specification. This paper proposes and implements a structural VECM framework which imposes long run and short run cross-economy restrictions based on theoretically motivated restrictions and empirically supported dominance assumptions. The SVECM distinguishes between permanent and temporary shocks in a system where one cross-economy cointegrating relationship links output levels. In ad...
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