Skip to main content
padlock icon - secure page this page is secure

A Bayesian Vector Autoregressive Model with Informative Steady-state Priors for the Australian Economy

Buy Article:

$52.00 + tax (Refund Policy)

This article applies a Bayesian vector autoregressive model with informative steady-state priors to a parsimonious model of the Australian economy. The model captures economic linkages among key Australian and US variables and is estimated on quarterly data from 1985 to 2006. An out-of-sample forecast exercise shows that the model with informative steady-state priors generally outperforms a traditional Bayesian vector autoregressive model as well as naïve forecasts. The model can also be used to generate density forecasts and analyse alternative scenarios, which we illustrate with the effect on the Australian economy of a substantial real depreciation of the US dollar.
No References
No Citations
No Supplementary Data
No Article Media
No Metrics

Keywords: C32; E37

Document Type: Research Article

Affiliations: 1: Division of Monetary Affairs, Board of Governors of the Federal Reserve System, 20th and C Streets, Washington, DC 20551, USA 2: International Monetary Fund and Department of Economics, Uppsala University, Uppsala, Sweden

Publication date: December 1, 2008

  • Access Key
  • Free content
  • Partial Free content
  • New content
  • Open access content
  • Partial Open access content
  • Subscribed content
  • Partial Subscribed content
  • Free trial content
Cookie Policy
X
Cookie Policy
Ingenta Connect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more