Macroeconomic variability in New Zealand: An SVAR study
AbstractStructural vector autoregressive (SVAR) methodology is used to assess possible sources of macroeconomic variability in the New Zealand economy. As a test of robustness, two alternative business cycle filters are used to remove stochastic trends from integrated time series data. Regardless of the way in which cyclical fluctuations are empirically measured, the investigation attributes a considerable share of variability in the New Zealand macroeconomy to foreign sector shocks, particularly over the longer term. Furthermore, the relative importance of the various sources of variability are found to change following the removal of nominal interest rate and other controls and the floating of the New Zealand dollar in the mid-1980s.
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.
Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal New Zealand Economic Papers.
Volume (Year): 32 (1998)
Issue (Month): 2 ()
Contact details of provider:
Web page: http://www.tandfonline.com/RNZP20
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Aaron Drew & Ben Hunt, 1998. "The Forecasting and Policy System: stochastic simulations of the core model," Reserve Bank of New Zealand Discussion Paper Series G98/6, Reserve Bank of New Zealand.
- Robert A Buckle & Kunhong Kim & Heather Kirkham & Nathan McLellan & Jared Sharma, 2002. "A structural VAR model of the New Zealand business cycle," Treasury Working Paper Series 02/26, New Zealand Treasury.
- Robert Buckle & Kunhong Kim & Julie Tam, 2002.
"A structural var approach to estimating budget balance targets,"
New Zealand Economic Papers,
Taylor & Francis Journals, vol. 36(2), pages 149-175.
- Robert A Buckle & Kunhong Kim & Julie Tam, 2001. "A Structural VAR Approach to Estimating Budget Balance Targets," Treasury Working Paper Series 01/11, New Zealand Treasury.
- K. Arin & Sam Jolly, 2005. "Trans-Tasman Transmission of Monetary Shocks: Evidence From a VAR Approach," Atlantic Economic Journal, International Atlantic Economic Society, vol. 33(3), pages 267-283, September.
- Robert A Buckle & Kunhong Kim & Nathan McLellan, 2003.
"The impact of monetary policy on New Zealand business cycles and inflation variability,"
Treasury Working Paper Series
03/09, New Zealand Treasury.
- Nathan McLellan & Robert A Buckle & Kunhong Kim, 2004. "The impact of monetary policy on New Zealand business cycles and inflation variability," Econometric Society 2004 Far Eastern Meetings 594, Econometric Society.
- 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.
- Nils Björksten & Arthur Grimes & Özer Karagedikli & Christopher Plantier, 2004. "What can the Taylor rule tell us about a currency union between New Zealand and Australia?," Reserve Bank of New Zealand Discussion Paper Series DP 2004/05, Reserve Bank of New Zealand.
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.