Growth and volatility regime switching models for New Zealand GDP data
This paper fits hidden Markov switching models to New Zealand GDP data. A primary objective is to better understand the utility of these methods for modelling growth and volatility regimes present in the New Zealand data and their interaction. Properties of the models are developed together with a description of the estimation methods, including use of the Expectation Maximisation (EM) algorithm. The models are fitted to New Zealand GDP and production sector growth rates to analyse changes in their mean and volatility over time. The paper discusses applications of the methodology to identifying changes in growth performances, and examines the timing of growth and volatility regime switching between production sectors. Conclusions to emerge are that, in contrast to the 1980s, New Zealand GDP growth experienced an unusually long period of time in high growth and low volatility regimes during the 1990s. The paper evaluates sector contributions to this 1990s experience and discusses directions for further development.
|Date of creation:||Jun 2002|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: +64-4-472 2733
Fax: +64-4-473 0982
Web page: http://www.treasury.govt.nz
More information through EDIRC
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.:
- Cover, James Peery, 1992. "Asymmetric Effects of Positive and Negative Money-Supply Shocks," The Quarterly Journal of Economics, MIT Press, vol. 107(4), pages 1261-82, November.
- Andrew J. Filardo, 1993.
"Business cycle phases and their transitional dynamics,"
Research Working Paper
93-14, Federal Reserve Bank of Kansas City.
- Filardo, Andrew J, 1994. "Business-Cycle Phases and Their Transitional Dynamics," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 299-308, July.
- J. Bradford DeLong & Lawrence H. Summers, 1988. "How Does Macroeconomic Policy Affect Output?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 19(2), pages 433-494.
- Zenon Kontolemis G., 1999.
"Analysis of the U.S. Business Cycle with a Vector-Markov-Switching Model,"
IMF Working Papers
99/107, International Monetary Fund.
- Kontolemis, Zenon G, 2001. "Analysis of the US Business Cycle with a Vector-Markov-Switching Model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(1), pages 47-61, January.
- Burgess, Simon M, 1992. "Asymmetric Employment Cycles in Britain: Evidence and an Explanation," Economic Journal, Royal Economic Society, vol. 102(411), pages 279-90, March.
- Francis X. Diebold & Glenn D. Rudebusch, 1991.
"Have postwar economic fluctuations been stabilized?,"
Working Paper Series / Economic Activity Section
116, Board of Governors of the Federal Reserve System (U.S.).
- Diebold, Francis X & Rudebusch, Glenn D, 1992. "Have Postwar Economic Fluctuations Been Stabilized?," American Economic Review, American Economic Association, vol. 82(4), pages 993-1005, September.
- Francis X. Diebold & Glenn D. Rudebusch, 1990. "Have postwar economic fluctuations been stabilized?," Discussion Paper / Institute for Empirical Macroeconomics 33, Federal Reserve Bank of Minneapolis.
- Durland, J Michael & McCurdy, Thomas H, 1994.
"Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 12(3), pages 279-88, July.
- J. Michael Durland & Thomas H. McCurdy, 1993. "Duration Dependent Transitions in a Markov Model of U.S. GNP Growth," Working Papers 887, Queen's University, Department of Economics.
- Daniel E. Sichel, 1989.
"Business cycle asymmetry: a deeper look,"
Working Paper Series / Economic Activity Section
93, Board of Governors of the Federal Reserve System (U.S.).
- repec:fth:harver:1418 is not listed on IDEAS
- Olivier Blanchard & John Simon, 2001. "The Long and Large Decline in U.S. Output Volatility," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 32(1), pages 135-174.
- Kim, Chang-Jin, 1994.
"Dynamic linear models with Markov-switching,"
Journal of Econometrics,
Elsevier, vol. 60(1-2), pages 1-22.
- Buckle, R-A & Carlson, J-A, 1996.
"Inflation an Asymmetric Price Adjustment,"
96-013, Purdue University, Krannert School of Management - Center for International Business Education and Research (CIBER).
- John Simon, 2001. "The Decline in Australian Output Volatility," RBA Research Discussion Papers rdp2001-01, Reserve Bank of Australia.
- 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.
- Donald P. Morgan, 1993. "Asymmetric effects of monetary policy," Economic Review, Federal Reserve Bank of Kansas City, issue Q II, pages 21-33.
- Goldfeld, Stephen M. & Quandt, Richard E., 1973. "A Markov model for switching regressions," Journal of Econometrics, Elsevier, vol. 1(1), pages 3-15, March.
- Giles, David E A, 1997. "Testing for Asymmetry in the Measured and Underground Business Cycles in New Zealand," The Economic Record, The Economic Society of Australia, vol. 73(222), pages 225-32, September.
- Engel, Charles & Hamilton, James D, 1990. "Long Swings in the Dollar: Are They in the Data and Do Markets Know It?," American Economic Review, American Economic Association, vol. 80(4), pages 689-713, September.
- Olekalns, Nilss, 1995. "The Effect of Nominal Demand Shocks on Manufacturing Output: Evidence from Disaggregated Australian Data," The Economic Record, The Economic Society of Australia, vol. 71(212), pages 66-76, March.
- Harding, Don & Pagan, Adrian, 2003. "A comparison of two business cycle dating methods," Journal of Economic Dynamics and Control, Elsevier, vol. 27(9), pages 1681-1690, July.
- Boldin, Michael D, 1994. "Dating Turning Points in the Business Cycle," The Journal of Business, University of Chicago Press, vol. 67(1), pages 97-131, January.
- Neftci, Salih N, 1984. "Are Economic Time Series Asymmetric over the Business Cycle?," Journal of Political Economy, University of Chicago Press, vol. 92(2), pages 307-28, April.
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
- Rhee, Wooheon & Rich, Robert W., 1995. "Inflation and the asymmetric effects of money on output fluctuations," Journal of Macroeconomics, Elsevier, vol. 17(4), pages 683-702.
- Hamilton, James D. & Susmel, Raul, 1994.
"Autoregressive conditional heteroskedasticity and changes in regime,"
Journal of Econometrics,
Elsevier, vol. 64(1-2), pages 307-333.
- Tom Doan, . "RATS programs to estimate Hamilton-Susmel Markov Switching ARCH model," Statistical Software Components RTZ00083, Boston College Department of Economics.
- Karras, Georgios, 1996. "Are the Output Effects of Monetary Policy Asymmetric? Evidence from a Sample of European Countries," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 58(2), pages 267-78, May.
When requesting a correction, please mention this item's handle: RePEc:nzt:nztwps:02/08. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Web and Publishing Team, The Treasury)
If references are entirely missing, you can add them using this form.