Analysing shock transmission in a data-rich environment: A large BVAR for New Zealand
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.Download Info
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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.Length: 34 p.
Date of creation: May 2008
Date of revision:
Handle: RePEc:nzb:nzbdps:2008/09
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Keywords:Other versions of this item:
- Chris Bloor & Troy Matheson, 2010. "Analysing shock transmission in a data-rich environment: a large BVAR for New Zealand," Empirical Economics, Springer, vol. 39(2), pages 537-558, October.
- 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)
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Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.Cited by:
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