RDP 2023-09: Does Monetary Policy Affect Non-mining Business Investment in Australia? Evidence from BLADE Appendix B: Aggregate Data Results

Gulnara Nolan, Jonathan Hambur and Philip Vermeulen

December 2023

Figure B1: Aggregate Non-mining Investment Response
100 basis point monetary policy shock, VAR model
Figure B1: Aggregate Non-mining Investment Response

Notes: Small VAR with (log) real trade-weighted index, (log) consumption, (log) non-mining business investment, (log) dwelling investment and cash rate. Lighter shaded areas show 95 per cent confidence interval; darker show 90 per cent confidence interval.

Figure B2: Investment Response to 100 Basis Point Monetary Policy Shock
Difference between leader and other firm
Figure B2: Investment Response to 100 Basis Point Monetary Policy Shock

Notes: Model with no growth controls, but with industry*year fixed effects. Dots represent the point estimates of the differences in impulse responses. Bars represent 90 per cent confidence intervals calculated based on a t-distribution with t – n degrees of freedom, where t is number of years and n is the number of coefficients that do not vary across firms.

Sources: Authors' calculations; Morningstar.

Figure B3: Deflator Response to 100 Basis Point Monetary Policy Shock
National accounts, non-mining investment price deflatior
Figure B3: Deflator Response to 100 Basis Point Monetary Policy Shock

Note: Lighter shaded areas show 95 per cent confidence interval; darker show 90 per cent confidence interval.

Sources: ABS; Authors' calculations.