Daily Business and External Condition Indices for the Australian Economy
27 Pages Posted: 26 Mar 2015
Date Written: January 20, 2015
Abstract
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.
Keywords: Business conditions, Kalman filter, State-space model, Dynamic factor model, Mixed frequency
JEL Classification: E2, E3
Suggested Citation: Suggested Citation
Sheen, Jeffrey and Trueck, Stefan and Wang, Ben Zhe, Daily Business and External Condition Indices for the Australian Economy (January 20, 2015). Available at SSRN: https://ssrn.com/abstract=2584736 or http://dx.doi.org/10.2139/ssrn.2584736
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