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Macroeconomic variability in New Zealand: An SVAR study

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  • Paul Conway

Abstract

Structural vector autoregressive (SVAR) methodology is used to assess possible sources of macroeconomic variability in the New Zealand economy. As a test of robustness, two alternative business cycle filters are used to remove stochastic trends from integrated time series data. Regardless of the way in which cyclical fluctuations are empirically measured, the investigation attributes a considerable share of variability in the New Zealand macroeconomy to foreign sector shocks, particularly over the longer term. Furthermore, the relative importance of the various sources of variability are found to change following the removal of nominal interest rate and other controls and the floating of the New Zealand dollar in the mid-1980s.

Suggested Citation

  • Paul Conway, 1998. "Macroeconomic variability in New Zealand: An SVAR study," New Zealand Economic Papers, Taylor & Francis Journals, vol. 32(2), pages 161-186.
  • Handle: RePEc:taf:nzecpp:v:32:y:1998:i:2:p:161-186
    DOI: 10.1080/00779959809544287
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    References listed on IDEAS

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    Cited by:

    1. Osborn, Denise R. & Vehbi, Tugrul, 2015. "Growth in China and the US: Effects on a small commodity exporter economy," Economic Modelling, Elsevier, vol. 45(C), pages 268-277.
    2. Robert A Buckle & Kunhong Kim & Nathan McLellan, 2003. "The impact of monetary policy on New Zealand business cycles and inflation variability," Treasury Working Paper Series 03/09, New Zealand Treasury.
    3. Robert A Buckle & Kunhong Kim & Heather Kirkham & Nathan McLellan & Jared Sharma, 2002. "A structural VAR model of the New Zealand business cycle," Treasury Working Paper Series 02/26, New Zealand Treasury.
    4. Robert Buckle & Kunhong Kim & Julie Tam, 2002. "A structural var approach to estimating budget balance targets," New Zealand Economic Papers, Taylor & Francis Journals, vol. 36(2), pages 149-175.
    5. Nils Björksten & Arthur Grimes & Özer Karagedikli & Christopher Plantier, 2004. "What can the Taylor rule tell us about a currency union between New Zealand and Australia?," Reserve Bank of New Zealand Discussion Paper Series DP 2004/05, Reserve Bank of New Zealand.
    6. K. Arin & Sam Jolly, 2005. "Trans-Tasman Transmission of Monetary Shocks: Evidence From a VAR Approach," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 33(3), pages 267-283, September.
    7. Aaron Drew & Ben Hunt, 1998. "The Forecasting and Policy System: stochastic simulations of the core model," Reserve Bank of New Zealand Discussion Paper Series G98/6, Reserve Bank of New Zealand.
    8. Buckle, Robert A. & Kim, Kunhong & Kirkham, Heather & McLellan, Nathan & Sharma, Jarad, 2007. "A structural VAR business cycle model for a volatile small open economy," Economic Modelling, Elsevier, vol. 24(6), pages 990-1017, November.

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