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Stylised facts about New Zealand business cycles

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    Abstract

    This memo characterises the business cycles of the New Zealand economy, a la Stock and Watson (1998). The paper provides a set of stylised facts that New Zealand macroeconomic models should, ideally, be capable of emulating. This paper therefore serves as an important backdrop to macro modelling efforts. We also examine the same data series for the US and Australia, providing an indication of which features of New Zealand’s business cycles may be idiosyncratic.

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    File URL: http://www.rbnz.govt.nz/research_and_publications/discussion_papers/2007/dp07_04.pdf
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    Bibliographic Info

    Paper provided by Reserve Bank of New Zealand in its series Reserve Bank of New Zealand Discussion Paper Series with number DP2007/04.

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    Length: 61 p.
    Date of creation: Apr 2007
    Date of revision:
    Handle: RePEc:nzb:nzbdps:2007/04

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    1. Robert G. King & Sergio T. Rebelo, 2000. "Resuscitating Real Business Cycles," NBER Working Papers 7534, National Bureau of Economic Research, Inc.
    2. Canova, Fabio, 1998. "Detrending and business cycle facts," Journal of Monetary Economics, Elsevier, Elsevier, vol. 41(3), pages 475-512, May.
    3. Kim, Kunhong & Buckle, R A & Hall, V B, 1994. "Key Features of New Zealand Business Cycles," The Economic Record, The Economic Society of Australia, The Economic Society of Australia, vol. 70(208), pages 56-73, March.
    4. Andrew Coleman, 2007. "Tradables and non-tradables inflation in Australia and New Zealand," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 70, March.
    5. Marianne Baxter & Robert G. King, 1995. "Measuring Business Cycles Approximate Band-Pass Filters for Economic Time Series," NBER Working Papers 5022, National Bureau of Economic Research, Inc.
    6. Timothy Cogley & James M. Nason, 1993. "Effects of the Hodrick-Prescott filter on trend and difference stationary time series: implications for business cycle research," Working Papers in Applied Economic Theory 93-01, Federal Reserve Bank of San Francisco.
    7. Stock, James H. & Watson, Mark W., 1999. "Business cycle fluctuations in us macroeconomic time series," Handbook of Macroeconomics, Elsevier, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 1, pages 3-64 Elsevier.
    8. David Hargreaves & Hannah Kite & Bernard Hodgetts, 2006. "Modelling New Zealand inflation in a Phillips curve," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 69, September.
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    Cited by:
    1. McKelvie, S. & Hall, Viv B., 2012. "Stylised facts for New Zealand business cycles: A post-1987 perspective," Working Paper Series, Victoria University of Wellington, School of Economics and Finance 2364, Victoria University of Wellington, School of Economics and Finance.
    2. Bjarni G. Einarsson & Gudjón Emilsson & Svava J. Haraldsdóttir & Thórarinn G. Pétursson & Rósa B. Sveinsdóttir, 2013. "On our own? The Icelandic business cycle in an international context," Economics wp63, Department of Economics, Central bank of Iceland.

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