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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%；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

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