Daily Business and External Condition Indices for the Australian Economy

27 Pages Posted: 26 Mar 2015

See all articles by Jeffrey Sheen

Jeffrey Sheen

Macquarie University; Financial Research Network (FIRN); Macquarie University, Macquarie Business School

Stefan Trück

Macquarie University Sydney - Department of Applied Finance and Actuarial Studies; Financial Research Network (FIRN); Centre for International Finance and Regulation (CIFR); Macquarie University, Macquarie Business School

Ben Zhe Wang

Macquarie University, Macquarie Business School

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 fi nd 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

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

Jeffrey Sheen

Macquarie University ( email )

Department of Economics
Macquarie University
Sydney, NSW 2109
Australia
+61 2 9850 7287 (Phone)
+61 2 9850 8324 (Fax)

Financial Research Network (FIRN) ( email )

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

Macquarie University, Macquarie Business School ( email )

New South Wales 2109
Australia

Stefan Trueck

Macquarie University Sydney - Department of Applied Finance and Actuarial Studies ( email )

North Ryde
Sydney, New South Wales 2109
Australia
61298508483 (Phone)
61298508483 (Fax)

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Centre for International Finance and Regulation (CIFR) ( email )

Level 7, UNSW CBD Campus
1 O'Connell Street
Sydney, NSW 2000
Australia

Macquarie University, Macquarie Business School ( email )

New South Wales 2109
Australia

Ben Zhe Wang (Contact Author)

Macquarie University, Macquarie Business School ( email )

New South Wales 2109
Australia

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