Identification of common and idiosyncratic shocks in real equity prices: Australia 1982-2002

Renee Fry, Mardi Dungey, Vance L Martin

    Research output: Contribution to journalArticle

    Abstract

    A structural vector autoregressive (SVAR) model of real equity prices in Australia is specified to contain common shocks in international equity markets and domestic shocks in Australian financial and goods markets. Common shocks are identified through the long-run comovements of international equity markets, resulting in the model being characterized as having more shocks than variables. The empirical results show that the dot-com crisis of 2000 causes Australian real equity values to depreciate significantly below a precrisis baseline forecast, while contagion from the Asian financial crisis of 1997-1998 is found to have a much smaller negative impact.
    Original languageEnglish
    Pages (from-to)81-102
    JournalGlobal Finance Journal
    Volume15
    Issue number1
    Publication statusPublished - 2004

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