Title page for etd-0627112-181724


[Back to Results | New Search]

URN etd-0627112-181724
Author Ling-Yi Huang
Author's Email Address m996040022@student.nsysu.edu.tw
Statistics This thesis had been viewed 5579 times. Download 404 times.
Department Economics
Year 2011
Semester 2
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title The Analysis of the Great Moderation in Australia
Date of Defense 2012-06-19
Page Count 61
Keyword
  • Markov-Switching Model
  • Great Moderation
  • volatility
  • Time-Varying Structural Autoregressive Model
  • oil shock
  • break point
  • monetary policy
  • Abstract According to Kim and Nelson (1999) and McConnell and Perez-Quiros (2000), the timing of the Great Moderation occurred in U.S. at 1984Q1. Summers (2005) found out several reasons and different timings of the Great Moderation in the G-7 countries and Australia. During the past fifty years, there was a significantly sharp decline in the volatility of the real growth rate in Australia. Between 1968 and 1982, the standard deviation of the real growth rate was 1.416%ï¼›however, between 1983 and 1996, the standard deviation of the real growth rate drastically reduced to 0.917%. Based on this obvious situation described above, we successively build up a Markov-Switching Model and Time-Varying Structural Autoregressive Model to investigate the structural break and the sources of the Great Moderation in Australia. The findings turn out that improved monetary policy and the decreased oil shock can account for the explanation of the moderation with the break date of 1984Q1.
    Advisory Committee
  • Chun-Ping Chang - chair
  • Yung-Nian Tung - co-chair
  • Yung-Hsiang Ying - advisor
  • Files
  • etd-0627112-181724.pdf
  • Indicate in-campus at 5 year and off-campus access at 5 year.
    Date of Submission 2012-06-27

    [Back to Results | New Search]


    Browse | Search All Available ETDs

    If you have more questions or technical problems, please contact eThesys