Estimating an optimal macroeconomic uncertainty index for Australia

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Kaya H. F., Tawadros G. B.

Applied Economics, cilt.54, sa.38, ss.4374-4383, 2022 (SSCI, Scopus) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 54 Sayı: 38
  • Basım Tarihi: 2022
  • Doi Numarası: 10.1080/00036846.2020.1862749
  • Dergi Adı: Applied Economics
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus, IBZ Online, International Bibliography of Social Sciences, Periodicals Index Online, ABI/INFORM, Business Source Elite, Business Source Premier, CAB Abstracts, EconLit, Geobase, Index Islamicus, Public Affairs Index, Veterinary Science Database
  • Sayfa Sayıları: ss.4374-4383
  • Anahtar Kelimeler: central bank, GMM, Optimal uncertatiny index, optimization algorithm
  • Açık Arşiv Koleksiyonu: AVESİS Açık Erişim Koleksiyonu
  • Samsun Üniversitesi Adresli: Hayır

Özet

In this article, an optimal macroeconomic uncertainty index is constructed for the Australian economy. This index is derived from a small structural macroeconomic model. The structural model is first estimated using GMM to extract the parameter estimates, which are then used to initialize maximum likelihood techniques in order to obtain the optimal coefficient values for the relevant variables. The relevant variables are then weighted by the obtained optimal coefficients and, finally, are aggregated to produce the optimal macroeconomic uncertainty index for Australian economy. The empirical results show that the uncertainty index constructed is a good indicator of the optimal economic conditions in Australia, providing a useful tool to assist the Reserve Bank of Australia in its decision-making process.