This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
Analysing shock transmission in a data-rich environment: A large BVAR for New Zealand Author info | Abstract | Publisher info | Download info | Related research | Statistics Chris Bloor
Troy Matheson (Reserve Bank of New Zealand )
Additional information is available for the following
registered author(s):
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.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Paper provided by Reserve Bank of New Zealand in its series Reserve Bank of New Zealand Discussion Paper Series with number
DP2008/09.
Download reference. The following formats are available: HTML ,
plain text ,
BibTeX ,
RIS (EndNote),
ReDIF
Length: 34 p.
Date of creation: May 2008Date of revision:
Handle: RePEc:nzb:nzbdps:2008/09Contact details of provider: Postal: P.O. Box 2498, Wellington Phone: 64 4 471-3767 Fax: 64 4 471-2270 Email: Web page: http://www.rbnz.govt.nz More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Reserve Bank of New Zealand Knowledge Centre).
Keywords: Find related papers by JEL classification: C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Bayesian Analysis C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications
This paper has been announced in the following NEP Reports :
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Andrew Coleman & John Landon-Lane, 2007.
"Housing Markets and Migration in New Zealand, 1962-2006 ,"
Reserve Bank of New Zealand Discussion Paper Series
DP2007/12, Reserve Bank of New Zealand.
[Downloadable!]
James H. Stock & Mark W. Watson, 1999.
"Forecasting Inflation ,"
NBER Working Papers
7023, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2000.
"The Generalized Dynamic-Factor Model: Identification And Estimation ,"
The Review of Economics and Statistics ,
MIT Press, vol. 82(4), pages 540-554, November.
[Downloadable!] (restricted)
Other versions: Alfred A Haug & Christie Smith, 2007.
"Local linear impulse responses for a small open economy ,"
Reserve Bank of New Zealand Discussion Paper Series
DP2007/09, Reserve Bank of New Zealand.
[Downloadable!]
Stock, James H & Watson, Mark W, 2002.
"Macroeconomic Forecasting Using Diffusion Indexes ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 20(2), pages 147-62, April.
James H. Stock & Mark W. Watson, 2005.
"Implications of Dynamic Factor Models for VAR Analysis ,"
NBER Working Papers
11467, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 2005.
"The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting ,"
Journal of the American Statistical Association ,
American Statistical Association, vol. 100, pages 830-840, September.
[Downloadable!] (restricted)
Other versions:
Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2003.
"The Generalized Dynamic Factor Model. One-Sided Estimation and Forecasting ,"
LEM Papers Series
2003/13, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
[Downloadable!] Forni M. & Hallin M., 2003.
"The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting ,"
Computing in Economics and Finance 2003
143, Society for Computational Economics.
Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 2002.
"The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting ,"
CEPR Discussion Papers
3432, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Cushman, David O. & Zha, Tao, 1997.
"Identifying monetary policy in a small open economy under flexible exchange rates ,"
Journal of Monetary Economics ,
Elsevier, vol. 39(3), pages 433-448, August.
[Downloadable!] (restricted)
Other versions: John C. Robertson & Ellis W. Tallman, 1999.
"Vector autoregressions: forecasting and reality ,"
Economic Review ,
Federal Reserve Bank of Atlanta, issue Q1, pages 4-18.
[Downloadable!]
Jean Boivin & Marc Giannoni, 2008.
"Global Forces and Monetary Policy Effectiveness ,"
NBER Working Papers
13736, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Banbura, Marta & Giannone, Domenico & Reichlin, Lucrezia, 2007.
"Bayesian VARs with Large Panels ,"
CEPR Discussion Papers
6326, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Diebold, Francis X & Mariano, Roberto S, 1995.
"Comparing Predictive Accuracy ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 13(3), pages 253-63, July.
Other versions:
Francis X. Diebold & Robert S. Mariano, 1994.
"Comparing Predictive Accuracy ,"
NBER Technical Working Papers
0169, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Diebold, Francis X & Mariano, Roberto S, 2002.
"Comparing Predictive Accuracy ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 20(1), pages 134-44, January.
Lawrence J. Christiano, Martin Eichenbaum, and Charles L. Evans, 2005.
"Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy ,"
Journal of Political Economy ,
University of Chicago Press, vol. 113(1), pages 1-45, February.
Other versions:
Lawrence J. Christiano & Martin Eichenbaum & Charles Evans, 2001.
"Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy ,"
NBER Working Papers
8403, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Lawrence J. Christiano & Martin Eichenbaum & Charles L. Evans, 2001.
"Nominal rigidities and the dynamic effects of a shock to monetary policy ,"
Working Paper Series
WP-01-08, Federal Reserve Bank of Chicago.
[Downloadable!] Lawrence J. Christiano & Martin Eichenbaum & Charles Evans, 2001.
"Nominal rigidities and the dynamic effects of a shock to monetary policy ,"
Working Paper
0107, Federal Reserve Bank of Cleveland.
[Downloadable!] Lawrence J. Christiano & Martin Eichenbaum & Charles Evans, 2001.
"Nominal rigidities and the dynamic effects of a shock to monetary policy ,"
Proceedings ,
Federal Reserve Bank of San Francisco, issue Jun.
[Downloadable!] Marco Del Negro & Frank Schorfheide, 2004.
"Priors from General Equilibrium Models for VARS ,"
International Economic Review ,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 45(2), pages 643-673, 05.
[Downloadable!] (restricted)
Other versions: Waggoner, Daniel F. & Zha, Tao, 2003.
"A Gibbs sampler for structural vector autoregressions ,"
Journal of Economic Dynamics and Control ,
Elsevier, vol. 28(2), pages 349-366, November.
[Downloadable!] (restricted)
Full
references
Access and
download statistics Did you know? You can import bibliographic info in various formats into you bibliographic tool, or just into your word processor. See under "publisher info" on each abstract page.
This page was last updated on 2008-8-12.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .