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Abstract

We analyse a large Bayesian Vector Autoregression (BVAR) containing almost one hundred New Zealand macroeconomic time series. Methods for allowing multiple blocks of equations with block-specific Bayesian priors are described, and forecasting results show that our model compares favourably to a range of other time series models. Examining the impulse responses to a monetary policy shock and to two less conventional shocks – net migration and the climate – we highlight the usefulness of the large BVAR in analysing shock transmission.

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Paper provided by Reserve Bank of New Zealand in its series Reserve Bank of New Zealand Discussion Paper Series with number DP2008/09.

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Length: 34 p.
Date of creation: May 2008
Date of revision:
Handle: RePEc:nzb:nzbdps:2008/09

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Find related papers by JEL classification:

• C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
• C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
• C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
• C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

This paper has been announced in the following NEP Reports:

• NEP-ALL-2008-05-24 (All new papers)
• NEP-CBA-2008-05-24 (Central Banking)
• NEP-ECM-2008-05-24 (Econometrics)
• NEP-MAC-2008-05-24 (Macroeconomics)

References

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Cited by:

1. Rangan Gupta & Marius Jurgilas & Alain Kabundi & Stephen M. Miller, 2011. "Monetary policy and housing sector dynamics in a large-scale Bayesian vector autoregressive model," International Journal of Strategic Property Management, Taylor and Francis Journals, vol. 16(1), pages 1-20, August.
   
   • Rangan Gupta & Marius Jurgilas & Alain Kabundi & Stephen M. Miller, 2009. "Monetary Policy and Housing Sector Dynamics in a Large-Scale Bayesian Vector Autoregressive Model," Working Papers 200913, University of Pretoria, Department of Economics.
   • Rangan Gupta & Marius Jurgilas & Alain Kabundi & Stephen M. Miller, 2009. "Monetary Policy and Housing Sector Dynamics in a Large-Scale Bayesian Vector Autoregressive Model," Working papers 2009-19, University of Connecticut, Department of Economics.
   • Rangan Gupta & Marius Jurgilas & Alan Kabundi & Stephen M. Miller, 2009. "Monetary Policy and Housing Sector Dynamics in a Large-Scale Bayesian Vector Autoregressive Mode," Working Papers 0919, University of Nevada, Las Vegas , Department of Economics.
2. Rangan Gupta & Stephen M. Miller & Dylan van Wyk, 2010. "Financial Market Liberalization, Monetary Policy, and Housing Price Dynamics," Working papers 2010-06, University of Connecticut, Department of Economics.
   
   • Rangan Gupta & Marius Jurgilas & Stephen M. Miller & Dylan van Wyk, 2010. "Financial Market Liberalization, Monetary Policy, and Housing Price Dynamics," Working Papers 201009, University of Pretoria, Department of Economics.
3. Bloor, Chris & Matheson, Troy, 2011. "Real-time conditional forecasts with Bayesian VARs: An application to New Zealand," The North American Journal of Economics and Finance, Elsevier, vol. 22(1), pages 26-42, January.
   
   • Chris Bloor & Troy Matheson, 2009. "Real-time conditional forecasts with Bayesian VARs: An application to New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2009/02, Reserve Bank of New Zealand.
4. Rangan Gupta, 2012. "Forecasting House Prices for the Four Census Regions and the Aggregate US Economy: The Role of a Data-Rich Environment," Working Papers 201214, University of Pretoria, Department of Economics.
5. Gupta, Rangan & Kabundi, Alain & Miller, Stephen M., 2011. "Forecasting the US real house price index: Structural and non-structural models with and without fundamentals," Economic Modelling, Elsevier, vol. 28(4), pages 2013-2021, July.
   
   • Rangan Gupta & Alan Kabundi & Stephen M. Miller, 2009. "Forecasting the US Real House Price Index: Structural and Non-Structural Models with and without Fundamentals," Working Papers 1001, University of Nevada, Las Vegas , Department of Economics.
   • Rangan Gupta & Alain Kabundi & Stephen M. Miller, 2009. "Forecasting the US Real House Price Index: Structural and Non-Structural Models with and without Fundamentals," Working Papers 200927, University of Pretoria, Department of Economics.
   • Rangan Gupta & Alain Kabundi & Stephen M. Miller, 2009. "Forecasting the US Real House Price Index: Structural and Non-Structural Models with and without Fundamentals," Working papers 2009-42, University of Connecticut, Department of Economics.
6. Adina Popescu & Alina Carare, 2011. "Monetary Policy and Risk-Premium Shocks in Hungary: Results from a Large Bayesian VAR," IMF Working Papers 11/259, International Monetary Fund.
7. Mehmet Balcilar & Rangan Gupta & Zahra Shah, 2010. "An In-Sample and Out-of-Sample Empirical Investigation of the Nonlinearity in House Prices of South Africa," Working Papers 201008, University of Pretoria, Department of Economics.
   
   • Balcilar, Mehmet & Gupta, Rangan & Shah, Zahra B., 2011. "An in-sample and out-of-sample empirical investigation of the nonlinearity in house prices of South Africa," Economic Modelling, Elsevier, vol. 28(3), pages 891-899, May.
8. Karlsson, Sune, 2012. "Forecasting with Bayesian Vector Autoregressions," Working Papers 2012:12, Örebro University, School of Business.
9. Dimitris Korobilis & Michelle Gilmartin, 2011. "The Dynamic Effects of U.S. Monetary Policy on State Unemployment," Working Paper Series 12_11, The Rimini Centre for Economic Analysis.
   
   • Korobilis, Dimitris & Gilmartin, Michelle, 2010. "The dynamic effects of U.S. monetary policy on state unemployment," MPRA Paper 27596, University Library of Munich, Germany.
10. Sarah Drought & Chris McDonald, 2011. "Forecasting house price inflation: a model combination approach," Reserve Bank of New Zealand Discussion Paper Series DP2011/07, Reserve Bank of New Zealand.

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