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A dynamic computable general equilibrium (CGE) model of the New Zealand economy

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Author Info
Kam Leong Szeto () (The Treasury)
Abstract

This paper documents the structure and key properties of a computable general equilibrium (CGE) model of the New Zealand economy. It is a three-good, small open economy model, which features a well-developed production block. This production block has been estimated as a system using Full Information Maximum Likelihood. Another key feature of the model is that it has a two–tiered structure: the steady-state version of the model and the dynamic version of the model. Using the steady-state version of the model, a macroeconomic balance measure of New Zealand’s equilibrium exchange rate can be derived. Furthermore, the steady–state model provides estimates of potential output, which is used to measure the level of excess demand in the economy. The dynamic model is used to trace the dynamic response of a range of macroeconomic variables to various shocks such as changes to world prices for exports and changes to government policy.

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File URL: http://www.treasury.govt.nz/publications/research-policy/wp/2002/02-07/twp02-07.pdf
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Publisher Info
Paper provided by New Zealand Treasury in its series Treasury Working Paper Series with number 02/07.

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Length: 68 pages
Date of creation: Jun 2002
Date of revision:
Handle: RePEc:nzt:nztwps:02/07

Contact details of provider:
Postal: New Zealand Treasury, PO Box 3724, Wellington, New Zealand
Phone: +64-4-472 2733
Fax: +64-4-473 0982
Web page: http://www.treasury.govt.nz
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Related research
Keywords: Computable general equilibrium model; Equilibrium exchange rate; potential output; Macroeconomic dynamics;

Other versions of this item:

Find related papers by JEL classification:
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
E23 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment - - - Production

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.:
  1. Robert J. Hodrick & Edward Prescott, 1981. "Post-War U.S. Business Cycles: An Empirical Investigation," Discussion Papers 451, Northwestern University, Center for Mathematical Studies in Economics and Management Science. [Downloadable!]
    Other versions:
  2. Wells, Graeme & Evans, Lewis, 1985. "The Impact of Traded Goods Prices on the New Zealand Economy," The Economic Record, The Economic Society of Australia, vol. 61(172), pages 421-35, March.
  3. Svensson, Lars E O, 1999. "Price-Level Targeting versus Inflation Targeting: A Free Lunch?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 31(3), pages 277-95, August.
    Other versions:
  4. Tobin, James, 1969. "A General Equilibrium Approach to Monetary Theory," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 1(1), pages 15-29, February. [Downloadable!] (restricted)
  5. King, Alan, 1998. "Uncovered Interest Parity: New Zealand's Post-deregulation Experience," Applied Financial Economics, Taylor and Francis Journals, vol. 8(5), pages 495-503, October. [Downloadable!] (restricted)
  6. Kam Leong Szeto, 2001. "An Econometric Analysis of a Production Function for New Zealand," Treasury Working Paper Series 01/31, New Zealand Treasury. [Downloadable!]
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Cited by:
(explanations, 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.)

  1. Renee Philip & John Janssen, 2002. "Indicators of Fiscal Impulse for New Zealand," Treasury Working Paper Series 02/30, New Zealand Treasury. [Downloadable!]
  2. Iris Claus & Arthur Grimes, 2003. "Asymmetric Information, Financial Intermediation and the Monetary Transmission Mechanism: A Critical Review," Treasury Working Paper Series 03/19, New Zealand Treasury. [Downloadable!]
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