Stylised facts about New Zealand business cycles
This memo characterises the business cycles of the New Zealand economy, a la Stock and Watson (1998). The paper provides a set of stylised facts that New Zealand macroeconomic models should, ideally, be capable of emulating. This paper therefore serves as an important backdrop to macro modelling efforts. We also examine the same data series for the US and Australia, providing an indication of which features of New Zealand’s business cycles may be idiosyncratic.
|Date of creation:||Apr 2007|
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- Marianne Baxter & Robert G. King, 1995.
"Measuring Business Cycles Approximate Band-Pass Filters for Economic Time Series,"
NBER Working Papers
5022, National Bureau of Economic Research, Inc.
- Marianne Baxter & Robert G. King, 1999. "Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 575-593, November.
- Stock, James H. & Watson, Mark W., 1999.
"Business cycle fluctuations in us macroeconomic time series,"
Handbook of Macroeconomics,
in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 1, pages 3-64
- James H. Stock & Mark W. Watson, 1998. "Business Cycle Fluctuations in U.S. Macroeconomic Time Series," NBER Working Papers 6528, National Bureau of Economic Research, Inc.
- Andrew Coleman, 2007. "Tradables and non-tradables inflation in Australia and New Zealand," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 70, March.
- Robert G. King & Sergio T. Rebelo, 2000.
"Resuscitating Real Business Cycles,"
NBER Working Papers
7534, National Bureau of Economic Research, Inc.
- Cogley, Timothy & Nason, James M., 1995.
"Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 19(1-2), pages 253-278.
- Timothy Cogley & James M. Nason, 1993. "Effects of the Hodrick-Prescott filter on trend and difference stationary time series: implications for business cycle research," Working Papers in Applied Economic Theory 93-01, Federal Reserve Bank of San Francisco.
- Canova, Fabio, 1998.
"Detrending and business cycle facts,"
Journal of Monetary Economics,
Elsevier, vol. 41(3), pages 475-512, May.
- Kim, Kunhong & Buckle, R A & Hall, V B, 1994. "Key Features of New Zealand Business Cycles," The Economic Record, The Economic Society of Australia, vol. 70(208), pages 56-73, March.
- David Hargreaves & Hannah Kite & Bernard Hodgetts, 2006. "Modelling New Zealand inflation in a Phillips curve," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 69, September.
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