Forecasting the Australian economy with DSGE and BVAR models

References

• Abbas, S. K., P. S. Bhattacharya, D. Mallick, and P. Sgro. 2016. “The New Keynesian Phillips Curve in a Small Open Economy: Empirical Evidence from Australia.” The Economic Record 92: 409–434. doi:10.1111/ecor.2016.92.issue-298.
   Web of Science ®Google Scholar
• Atkeson, A., and L. E. Ohanian. 2001. “Are Phillips Curves Useful for Forecasting Inflation?” Quarterly Review 25(1): 2–11.
   Google Scholar
• Beechey, M., and P. Österholm. 2008. “A Bayesian Vector Autoregressive Model with Informative Steady-State Priors for the Australian Economy.” The Economic Record 84: 449–465. doi:10.1111/ecor.2008.84.issue-267.
   Web of Science ®Google Scholar
• Bernanke, B. S., M. Gertler, and S. Gilchrist. 1999. “Handbook of Macroeconomics edited by  J. B. Taylor and M. Woodford.” In Handbook in Economics, 1341–1393. Vol. 15. Amsterdam: Elsevier Science.
   Google Scholar
• Brischetto, A., and G. Voss (1999) A Structural Vector Autoregression Model of Monetary Policy in Australia, RBA Research Discussion Paper 1999-11, Reserve Bank of Australia.
   Google Scholar
• Brzoza-Brzezina, M., and M. Kolasa. 2013. “Bayesian Evaluation of DSGE Models with Financial Frictions.” Journal of Money, Credit and Banking 45: 1451–1476. doi:10.1111/jmcb.12059.
   Web of Science ®Google Scholar
• Cagliarini, A., T. Robinson, and A. Tran. 2011. “Reconciling Microeconomic and Macroeconomic Estimates of Price Stickiness.” Journal of Macroeconomics 33: 102–120. doi:10.1016/j.jmacro.2010.10.003.
   Web of Science ®Google Scholar
• Casella, G. 1985. “An Introduction to Empirical Bayes Analysis.” The American Statistician 39: 83–87.
   Web of Science ®Google Scholar
• Christensen, I., P. Corrigan, C. Mendicino, and S.-I. Nishiyama. 2016. “Consumption, Housing Collateral and the Canadian Business Cycle.” Canadian Journal of Economics 49: 207–236. doi:10.1111/caje.12195.
   Web of Science ®Google Scholar
• Christiano, L. J., M. Trabandt, and K. Walentin. 2011. “Introducing Financial Frictions and Unemployment into a Small Open Economy Model.” Journal of Economic Dynamics and Control 35: 1999–2041. doi:10.1016/j.jedc.2011.09.005.
   Web of Science ®Google Scholar
• Clemen, R. T. 1989. “Combining Forecasts: A Review and Annotated Bibliography.” International Journal of Forecasting 5: 559–583. doi:10.1016/0169-2070(89)90012-5.
   Web of Science ®Google Scholar
• DeJong, D. N., B. Ingram, and C. Whiteman (1993) Analyzing VARs with Monetary Business Cycle Model Priors, in Proceedings of the American Statistical Association, Bayesian Statistics Section, American Statistical Association, Alexandria, 160–169.
   Google Scholar
• Del Negro, M., R. B. Hasegawa, and F. Schorfheide. 2016. “Dynamic Prediction Pools: An Investigation of Financial Frictions and Forecasting Performance.” Journal of Econometrics 192: 391–405. doi:10.1016/j.jeconom.2016.02.006.
   Web of Science ®Google Scholar
• Del Negro, M., and F. Schorfheide. 2004. “Priors from General Equilibrium Models for VARs.” International Economic Review 45: 643–673. doi:10.1111/iere.2004.45.issue-2.
   Web of Science ®Google Scholar
• Del Negro, M., and F. Schorfheide. 2013. “DSGE Model-Based Forecasting.” In Hanbook of Economic Forecasting, eds. G. Elliott and A. Timmermann, 57–140. Vol. 2. PART A, Amsterdam: Elsevier.
   Google Scholar
• Dib, A. (2008) Welfare Effects of Commodity Price and Exchange Rate Volatilities in a Multi-Sector Small Open Economy Model, Working Paper 2008-8, Bank of Canada.
   Google Scholar
• Diebold, F. X., and R. S. Mariano. 1995. “Comparing Predictive Accuracy.” Journal of Business & Economic Statistics 13: 253–263.
   Web of Science ®Google Scholar
• Dungey, M., R. Fry-McKibbin, and V. Linehan. 2014. “Chinese Resource Demand and the Natural Resource Supplier.” Applied Economics 46: 167–178. doi:10.1080/00036846.2013.835483.
   Web of Science ®Google Scholar
• Dungey, M., and A. Pagan. 2000. “A Structural VAR Model of the Australian Economy.” The Economic Record 76: 321–342. doi:10.1111/ecor.2000.76.issue-235.
   Web of Science ®Google Scholar
• Dungey, M., and A. Pagan. 2009. “Revisiting a SVAR Model of the Australian Economy.” Economic Record 85: 1–20. doi:10.1111/j.1475-4932.2008.00525.x.
   Web of Science ®Google Scholar
• Edge, R. M., and R. S. Gürkaynak. 2010. “How Useful are Estimated DSGE Model Forecasts for Central Bankers?” Brookings Papers on Economic Activity Fall, 2010: 209–244. doi:10.1353/eca.2010.0015.
   Google Scholar
• Eslake, S. 2011. “Productivity: The Lost Decade. In The Australian Economy in the 2000s Proceedings of a Conference, eds. J. Kearns and H. Gerard, 223–254. Sydney: Reserve Bank of Australia.
   Google Scholar
• Galí, J., and M. Gertler. 1999. “Inflation Dynamics: A Structural Econometric Analysis.” Journal of Monetary Economics 44: 195–222. doi:10.1016/S0304-3932(99)00023-9.
   Web of Science ®Google Scholar
• Galí, J., and T. Monacelli. 2005. “Monetary Policy and Exchange Rate Volatility in a Small Open Economy.” Review of Economic Studies 72: 707–734. doi:10.1111/j.1467-937X.2005.00349.x.
   Web of Science ®Google Scholar
• Gerard, H., and K. Nimark (2008) Combining Multivariate Density Forecasts Using Predictive Criteria, Research Discussion Paper 2008-02, Reserve Bank of Australia.
   Google Scholar
• Ghent, A. C. 2009. “Comparing DSGE-VAR Forecasting Models: How Big are the Differences?” Journal of Economic Dynamics and Control 33: 864–882. doi:10.1016/j.jedc.2008.10.004.
   Web of Science ®Google Scholar
• Giacomini, R., and H. White. 2006. “Tests of Conditional Predictive Ability.” Econometrica 74: 1545–1578. doi:10.1111/ecta.2006.74.issue-6.
   Web of Science ®Google Scholar
• Gilchrist, S., A. Ortiz, and E. Zakrajšek (2009) Credit Risk and the Macroeconomy: Evidence from an Estimated DSGE Model, Presented to 2009 Reserve Bank of Australia Economic Research Workshop: Monetary Policy in Open Economies.
   Google Scholar
• Gillitzer, C., and J. Kearns (2007) Forecasting with Factors: The Accuracy of Timeliness, Research Discussion Paper 2007-03, Reserve Bank of Australia.
   Google Scholar
• Harding, D., and A. Pagan. 2016. The Econometric Analysis of Recurrent Events in Macroeconomics and Finance. number 10744 in Economics Books, Princeton, USA: Princeton University Press. ISBN 0x60a788d8.
   Google Scholar
• Hodge, A., T. Robinson, and R. Stuart (2008) A Small BVAR-DSGE Model for Forecasting the Australian Economy, Research Discussion Paper 2008-04, Reserve Bank of Australia.
   Google Scholar
• Iacoviello, M. 2005. “House Prices, Borrowing Constraints, and Monetary Policy in the Business Cycle.” The American Economic Review 95 (3): 739–764. doi:10.1257/0002828054201477.
   Web of Science ®Google Scholar
• Iacoviello, M., and S. Neri. 2010. “Housing Market Spillovers: Evidence from an Estimated DSGE Model.” American Economic Journal: Macroeconomics 2 (2): 125–164.
   Web of Science ®Google Scholar
• Jääskelä, J. P., and K. Nimark. 2011. “A Medium-Scale New Keynesian Open Economy Model of Australia.” Economic Record 87: 11–36. doi:10.1111/ecor.2011.87.issue-276.
   Web of Science ®Google Scholar
• Jiang, B., G. Athanasopoulos, R. J. Hyndman, A. Panagiotelis, and F. Vahid (2017) Macroeconomic Forecasting for Australia Using a Large Number of Predictors, Monash Econometrics and Business Statistics Working Papers 2/17, Monash University, Department of Econometrics and Business Statistics.
   Google Scholar
• Justiniano, A., and B. Preston. 2010. “Monetary Policy and Uncertainty in an Empirical Small Open-Economy Model.” Journal of Applied Econometrics 25: 93–128. doi:10.1002/jae.1153.
   Web of Science ®Google Scholar
• Kadiyala, K. R., and S. Karlsson. 1997. “Numerical Methods for Estimation and Inference in Bayesian VAR-Models.” Journal of Applied Econometrics 12: 99–132. doi:10.1002/(ISSN)1099-1255.
   Web of Science ®Google Scholar
• Kearns, J., and P. Lowe. 2011. “Australia’s Prosperous 2000s: Housing and the Mining Boom. In The Australian Economy in the 2000s Proceedings of a Conference, eds. J. Kearns and H. Gerard, 73–100. Sydney: Reserve Bank of Australia.
   Google Scholar
• Kim, S., and N. Roubini. 2000. “Exchange Rate Anomalies in the Industrial Countries: A Solution with A Structural VAR Approach.” Journal of Monetary Economics 45: 561–586. doi:10.1016/S0304-3932(00)00010-6.
   Web of Science ®Google Scholar
• Knop, S. J., and J. L. Vespignani. 2014. “The Sectorial Impact of Commodity Price Shocks in Australia.” Economic Modelling 42: 257–271. doi:10.1016/j.econmod.2014.06.012.
   Web of Science ®Google Scholar
• Kolasa, M., and M. Rubaszek. 2015. “Forecasting Using DSGE Models with Financial Frictions.” International Journal of Forecasting 31: 1–19. doi:10.1016/j.ijforecast.2014.05.001.
   Web of Science ®Google Scholar
• Kolasa, M., M. Rubaszek, and P. Skrzypczyski. 2012. “Putting the New Keynesian DSGE Model to the Real-Time Forecasting Test.” Journal of Money, Credit and Banking 44: 1301–1324. doi:10.1111/j.1538-4616.2012.00533.x.
   Web of Science ®Google Scholar
• Koop, G., and D. Korobilis. 2010. “Bayesian Multivariate Time Series Methods for Empirical Macroeconomics.” Foundations and Trends® in Econometrics 3: 267–358. doi:10.1561/0800000013.
   Google Scholar
• Lees, K., T. Matheson, and C. Smith. 2011. “Open Economy Forecasting with a DSGE-VAR: Head to Head with the RBNZ Published Forecasts.” International Journal of Forecasting 27: 512–528. doi:10.1016/j.ijforecast.2010.01.008.
   Web of Science ®Google Scholar
• Litterman, R. B. 1986. “Forecasting with Bayesian Vector Autoregressions–Five Years of Experience.” Journal of Business & Economic Statistics 4: 25–38.
   Web of Science ®Google Scholar
• Lubik, T. A., and F. Schorfheide. 2007. “Do Central Banks Respond to Exchange Rate Movements? A Structural Investigation.” Journal of Monetary Economics 54: 1069–1087. doi:10.1016/j.jmoneco.2006.01.009.
   Web of Science ®Google Scholar
• Manalo, J., D. Perera, and D. M. Rees. 2015. “Exchange Rate Movements and the Australian Economy.” Economic Modelling 47: 53–62. doi:10.1016/j.econmod.2015.02.013.
   Web of Science ®Google Scholar
• Monacelli, T. 2005. “Monetary Policy in a Low Pass-Through Environment.” Journal of Money, Credit and Banking 37: 1047–1066. doi:10.1353/mcb.2006.0007.
   Web of Science ®Google Scholar
• Ng, E. C., and N. Feng. 2016. “Housing Market Dynamics in a Small Open Economy: Do External and News Shocks Matter?” Journal of International Money and Finance 63: 64–88. doi:10.1016/j.jimonfin.2016.01.005.
   Web of Science ®Google Scholar
• Nimark, K. P. 2009. “A Structural Model of Australia as a Small Open Economy.” Australian Economic Review 42: 24–41. doi:10.1111/aere.2009.42.issue-1.
   Web of Science ®Google Scholar
• Norman, D., and A. Richards. 2012. “The Forecasting Performance of Single Equation Models of Inflation.” The Economic Record 88: 64–78. doi:10.1111/ecor.2012.88.issue-1.
   Web of Science ®Google Scholar
• Pagan, A., and T. Robinson (2012) Assessing the Implications of Financial/Real Interactions for Business Cycles in Macroeconometric Models, University of Southern California Dornsife College, Center for Applied Financial Economics Working Paper, available at http://dornsife.usc.edu/assets/sites/462/docs/papers/working/finstressrev2c.pdf.
   Google Scholar
• Rees, D. M., P. Smith, and J. Hall. 2016. “A Multi-Sector Model of the Australian Economy.” The Economic Record 92: 374–408. doi:10.1111/1475-4932.12259.
   Web of Science ®Google Scholar
• Robinson, T. (2013) Estimating and Identifying Empirical BVAR-DSGE Models for Small Open Economies, Research Discussion Paper 2013-06, Reserve Bank of Australia.
   Google Scholar
• Smets, F., and R. Wouters. 2007. “Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach.” The American Economic Review 97: 586–606. doi:10.1257/aer.97.3.586.
   Web of Science ®Google Scholar
• Stock, J. H., and M. W. Watson. 2002. “Macroeconomic Forecasting Using Diffusion Indexes.” Journal of Business & Economic Statistics 20: 147–162. doi:10.1198/073500102317351921.
   Web of Science ®Google Scholar
• Summers, P. M. 2001. “Forecasting Australia’s Economic Performance during the Asian Crisis.” International Journal of Forecasting 17: 499–515. doi:10.1016/S0169-2070(01)00094-2.
   Web of Science ®Google Scholar
• Trevor, R. G., and S. J. Thorp. 1988. “VAR Forecasting Models of the Australian Economy: A Preliminary Analysis.” Australian Economic Papers 27: 108–120. doi:10.1111/j.1467-8454.1988.tb00697.x.
   Web of Science ®Google Scholar
• Tsiaplias, S., and C. L. Chua. 2010. “Forecasting Australian Macroeconomic Variables Using a Large Dataset.” Australian Economic Papers 49: 44–59. doi:10.1111/aepa.2010.49.issue-1.
   Web of Science ®Google Scholar
• Vespignani, J. L. 2013. “The Industrial Impact of Monetary Shocks during the Inflation-Targeting Era in Australia.” Australian Economic History Review 53: 47–71. doi:10.1111/aehr.2013.53.issue-1.
   Web of Science ®Google Scholar
• Villani, M. 2009. “Steady-State Priors for Vector Autoregressions.” Journal of Applied Econometrics 24: 630–650. doi:10.1002/jae.1065.
   Web of Science ®Google Scholar
• Voss, G., and L. Willard. 2009. “Monetary Policy and the Exchange Rate: Evidence from a Two-Country Model.” Journal of Macroeconomics 31: 708–720. doi:10.1016/j.jmacro.2008.09.002.
   Web of Science ®Google Scholar
• Wozniak, T. 2016. “Bayesian Vector Autoregressions.” Australian Economic Review 49: 365–380. doi:10.1111/1467-8462.12179.
   Web of Science ®Google Scholar