Empirical Evidence on Growth Spillovers from China to New Zealand
This paper provides a quantitative analysis of the impact on New Zealand of economic growth in China through the framework of an econometric model. The analysis compares the roles of China and the US both for growth in New Zealand and also for world commodity prices, the latter being important for New Zealand as an exporter of primary products. Finally, in the light of the increasing role of China in the world economy over the last two to three decades, the paper also investigates whether spillover effects from China to New Zealand have changed over this period. Using models estimated from the mid- 1980s to 2011, we find that growth spillovers from China are important for New Zealand, with estimates of the accumulated increase in domestic GDP from a one percent increase in output growth in China being in the range of around 0.2 to 0.4 percent. It is striking that growth spillovers are substantially greater from the US than from China, despite the latter's increasing importance in the world economy. Both domestic and foreign shocks have been important drivers of real exchange rate fluctuations, while the contribution of the latter has been relatively more important. The time-varying estimates provide some evidence of time-variation, with the greatest impact from China applying for about a decade from the mid-1990s, but also being relatively large in the latter part of our sample period.
|Length:||Structural VAR, growth spillovers, commodity prices|
|Date of creation:||Jul 2013|
|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
More information through EDIRC
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.:
- Sato, Kiyotaka & Zhang, Zhaoyong & McAleer, Michael, 2011.
"Identifying shocks in regionally integrated East Asian economies with structural VAR and block exogeneity,"
Mathematics and Computers in Simulation (MATCOM),
Elsevier, vol. 81(7), pages 1353-1364.
- Kiyotaka Sato & Zhaoyong Zhang & Michael McAleer, 2009. "Identifying Shocks in Regionally Integrated East Asian Economies with Structural VAR and Block Exogeneity," CIRJE F-Series CIRJE-F-694, CIRJE, Faculty of Economics, University of Tokyo.
- Sato, K. & Zhang, Z. & McAleer, M.J., 2010. "Identifying Shocks in Regionally Integrated East Asian Economies with Structural VAR and Block Exogeneity," Econometric Institute Research Papers EI 2010-09, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Sato, K. & Zhang, Z. & McAleer, M.J., 2009. "Identifying Shocks in Regionally Integrated East Asian Economies with Structural VaR and Block Exogeneity," Econometric Institute Research Papers EI 2009-49, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Kiyotaka Sato & Zhaoyong Zhang & Michael McAleer, 2010. "Identifying Shocks in Regionally Integrated East Asian Economies with Structural VAR and Block Exogeneity," Working Papers in Economics 10/23, University of Canterbury, Department of Economics and Finance.
- Tamim Bayoumi & Andrew Swiston, 2009. "Foreign Entanglements: Estimating the Source and Size of Spillovers Across Industrial Countries," IMF Staff Papers, Palgrave Macmillan, vol. 56(2), pages 353-383, June.
- Tamim Bayoumi & Andrew J Swiston, 2007. "Foreign Entanglements; Estimating the Source and Size of Spillovers Across Industrial Countries," IMF Working Papers 07/182, International Monetary Fund.
- Jarkko Jääskelä & Penelope Smith, 2011. "Terms of Trade Shocks: What are They and What Do They Do?," RBA Research Discussion Papers rdp2011-05, Reserve Bank of Australia.
- Gulasekaran Rajaguru & Tilak Abeysinghe, 2004. "Quarterly real GDP estimates for China and ASEAN4 with a forecast evaluation," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(6), pages 431-447.
- Tilak Abeysinghe & Gulasekaran Rajaguru, 2003. "Quarterly Real GDP Estimates for China and ASEAN4 with a Forecast Evaluation," Departmental Working Papers wp0404, National University of Singapore, Department of Economics.
- 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.
- James H. Stock & Mark W. Watson, 2005. "Understanding Changes In International Business Cycle Dynamics," Journal of the European Economic Association, MIT Press, vol. 3(5), pages 968-1006, 09.
- James H. Stock & Mark W. Watson, 2003. "Understanding Changes in International Business Cycle Dynamics," NBER Working Papers 9859, National Bureau of Economic Research, Inc.
- Zha, Tao, 1999. "Block recursion and structural vector autoregressions," Journal of Econometrics, Elsevier, vol. 90(2), pages 291-316, June. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:nzt:nztwps:13/17. 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 you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.