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The New Zealand Business Cycle

Author

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  • Hall, Viv B.
  • McDermott, C. John

Abstract

Our paper is in the spirit of Rex Bergstrom's interests and research in cyclical growth models and his meticulous attention to underlying data series. We develop a new quarterly real GDP series for post–World War II New Zealand, derive a new “benchmark” set of classical business cycle turning points, and establish nonparametric classical cycle characteristics. Markov-switching models, estimated by Gibbs-sampling methods, are used to derive mean growth rate and volatility regimes and to add to existing knowledge. The resulting properties, involving cycle asymmetries, volatility, diversity and duration dependence, and differing mean growth rate and volatility regimes, can be used to underpin a next generation of cyclical growth models for New Zealand, in the Bergstrom tradition.

Suggested Citation

  • Hall, Viv B. & McDermott, C. John, 2009. "The New Zealand Business Cycle," Econometric Theory, Cambridge University Press, vol. 25(04), pages 1050-1069, August.
  • Handle: RePEc:cup:etheor:v:25:y:2009:i:04:p:1050-1069_09
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    Citations

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    Cited by:

    1. Viv B. Hall & C. John McDermott, 2007. "Regional business cycles in New Zealand: Do they exist? What might drive them?," Papers in Regional Science, Wiley Blackwell, vol. 86(2), pages 167-191, June.
    2. Stijn Claessens & M. Ayhan Kose & Marco E. Terrones, 2009. "What happens during recessions, crunches and busts?," Economic Policy, CEPR;CES;MSH, vol. 24, pages 653-700, October.
    3. Radhika Pandey & Ila Patnaik & Ajay Shah, 2018. "Business Cycle Measurement in India," Working Papers id:12559, eSocialSciences.
    4. Hall, Viv B. & McDermott, C. John, 2015. "Recessions and Recoveries in New Zealand’s Post-Second World War Business Cycles," Working Paper Series 4688, Victoria University of Wellington, School of Economics and Finance.
    5. Viv Hall & John McDermott, 2008. "An Unobserved Components Common Cycle For Australia? Implications For A Common Currency," CAMA Working Papers 2008-11, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    6. John McDermott & Viv B. Hall, "undated". "A quarterly Post-World War II Real GDP Series for New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2009/12, Reserve Bank of New Zealand.
    7. Viv B. Hall & John McDermott, 2006. "The Ups and Downs of New Zealand House Prices," Working Papers 06_03, Motu Economic and Public Policy Research.
    8. repec:taf:nzecpp:v:50:y:2016:i:3:p:261-280 is not listed on IDEAS
    9. Viv B. Hall & C. John McDermott, 2016. "Recessions and recoveries in New Zealand's post-Second World War business cycles," New Zealand Economic Papers, Taylor & Francis Journals, vol. 50(3), pages 261-280, September.
    10. Radhika Pandey & Ila Patnaik & Ajay Shah, 2018. "Business Cycle Measurement in India," Working Papers id:12559, eSocialSciences.
    11. Roger Bowden & Jennifer Zhu, 2010. "Multi-scale variation, path risk and long-term portfolio management," Quantitative Finance, Taylor & Francis Journals, vol. 10(7), pages 783-796.
    12. McKelvie, S. & Hall, Viv B., 2012. "Stylised facts for New Zealand business cycles: A post-1987 perspective," Working Paper Series 2364, Victoria University of Wellington, School of Economics and Finance.
    13. Willy Chetwin, 2012. "Business cycle review, 1998-2011," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 75, pages 14-27, March.

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