Daily Business and External Condition Indices for the Australian Economy

We estimate an unobservable domestic business conditions index for Australia using a variety of observable macroeconomic and financial variables, relating it to an unobservable external index involving external variables relevant to Australia. Our small open economy, dynamic factor model uses stock...

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Bibliographic Details
Published in:The Economic record 2015-06, Vol.91 (S1), p.38-53
Main Authors: Sheen, Jeffrey, Trück, Stefan, Wang, Ben Zhe
Format: Article
Language:English
Subjects:
Australia
Business
Financial theory
Local economy
Macroeconomics
Open economies
Stocks
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Summary:We estimate an unobservable domestic business conditions index for Australia using a variety of observable macroeconomic and financial variables, relating it to an unobservable external index involving external variables relevant to Australia. Our small open economy, dynamic factor model uses stock and flow variables arriving at mixed frequencies. We find important links between the domestic and external indices, consistent with the small open economy assumption.
ISSN:0013-0249
1475-4932
DOI:10.1111/1475-4932.12181