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%¡Fhowever, 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.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0627112-181724 |
| Date | 27 June 2012 |
| Creators | Huang, Ling-Yi |
| Contributors | Chun-Ping Chang, Yung-Hsiang Ying, Yung-Nian Tung |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | Cholon |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0627112-181724 |
| Rights | user_define, Copyright information available at source archive |
Page generated in 0.0036 seconds