Markov Switching Models for GDP Growth in a Small Open Economy: The New Zealand Experience
AbstractThis paper fits Markov switching models to quarterly New Zealand aggregate GDP growth rates for the period 1978:1 to 2003:2 in order to analyse changes in mean and volatility over time. The models considered are drawn from a simple class of parsimonious, four state, Markov switching models which encompass a wide range of stationary time series behaviour from linear AR(1) models to non-linear models with persistent cycles and outliers. An overall objective is to use the models to help understand and identify changes in the historical growth performance of New Zealand's small open economy, particularly pre and post wide ranging economic reforms. Conclusions to emerge are that, in contrast to the 1980s, New Zealand GDP growth experienced an unusually long period of time in high growth and low volatility regimes since the early 1990s. In addition, New Zealand does not appear to have ...
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by OECD Publishing,CIRET in its journal Journal of Business Cycle Measurement and Analysis.
Volume (Year): 2004 (2004)
Issue (Month): 2 ()
Markov Switching Models; Hidden Markov Models; Regime;
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Martha Misas & María Teresa Ramírez, .
"Depressions in the Colombian Economic Growth Durng the XX Century: A Markov Switching Regime Model,"
Borradores de Economia
340, Banco de la Republica de Colombia.
- Martha Misas & María Teresa Ramírez, 2005. "Depressions In The Colombian Economic Growth During The Xx Century:A Markov Switching Regime Model," BORRADORES DE ECONOMIA 002274, BANCO DE LA REPÚBLICA.
- Buckle, Robert A. & Kim, Kunhong & Kirkham, Heather & McLellan, Nathan & Sharma, Jarad, 2007. "A structural VAR business cycle model for a volatile small open economy," Economic Modelling, Elsevier, vol. 24(6), pages 990-1017, November.
- Grimes, Arthur, 2006.
"A smooth ride: Terms of trade, volatility and GDP growth,"
Journal of Asian Economics,
Elsevier, vol. 17(4), pages 583-600, October.
- Grimes, Arthur, 2006. "A Smooth Ride: Terms of Trade, Volatility and GDP Growth," Occasional Papers 06/4, Ministry of Economic Development, New Zealand.
- Viv B. Hall & C. John McDermott, 2006. "The New Zealand Business Cycle: Return To Golden Days?," CAMA Working Papers 2006-21, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.