Similar Search Results

Using wavelets to measure core inflation: the case in New Zealand

Baqaee, David - Reserve Bank of New Zealand - 2009

This paper uses wavelets to develop a core inflation measure for inflation targeting central banks. The analysis is applied to the case of New Zealand – the country with the longest history of explicit inflation targeting. We compare the performance of our proposed measure against some popular...

Persistent link: https://www.econbiz.de/10005007502

Monetary policy transmission mechanisms and currency unions: A vector error correction approach to a Trans-Tasman currency union

Haug, Alfred A; Karagedikli, Ozer; Ranchhoud, Satish - Reserve Bank of New Zealand - 2003

Transmission mechanisms are the channels through which monetary policy affects macroeconomic variables, such as GDP and inflation. Differences in transmission mechanisms can generate asymmetric behaviour among currency union partners when they experience shocks. This has the potential to widen...

Persistent link: https://www.econbiz.de/10005061985

A new core inflation indicator for New Zealand.

Giannone, Domenico; Matheson, Troy - Reserve Bank of New Zealand - 2006

This paper introduces a new indicator of core inflation for New Zealand, estimated using a dynamic factor model and disaggregate price data. Using disaggregate price data we can directly compare the predictive performance of our core indicator with a wide range of other ‘core inflation’...

Persistent link: https://www.econbiz.de/10005395292

What happens when the Kiwi flies? Sectoral effects of the exchange rate shocks

Karagedikli, Özer; Ryan, Michael; Steenkamp, Daan; … - Reserve Bank of New Zealand - 2013

We estimate a Factor Augmented Vector autoregression (FAVAR) to identify idiosyncratic exchange rate shocks and examine the effects of these shocks on different sectors of the economy. We find that an unexpected shock to the exchange rate has significant effects on the tradable sector of the...

Persistent link: https://www.econbiz.de/10010857279

Time-varying returns, intertemporal substitution and cyclical variation in consumption

Veirman, Emmanuel De; Dunstan, Ashley - Reserve Bank of New Zealand - 2011

This paper studies the importance of intertemporal substitution in consumption for the cyclical co-movement of consumption, net worth and income in New Zealand. We can largely explain the empirical hump-shaped consumption response to a transitory wealth increase by allowing for time-varying...

Persistent link: https://www.econbiz.de/10009357801

Analysing wage and price dynamics in New Zealand

Dunstan, Ashley; Matheson, Troy; Pepper, Hamish - Reserve Bank of New Zealand - 2009

This paper examines the relationship between wages and consumer prices in New Zealand over the last 15 years. Reflecting the open nature of the New Zealand economy, the headline CPI is disaggregated into non-tradable and tradable prices. We find that there is a joint causality between wages and...

Persistent link: https://www.econbiz.de/10005007500

Estimating potential output for New Zealand: a structural VAR approach

Claus, Iris - Reserve Bank of New Zealand - 1999

One of the main indicators of inflationary pressures used by the Reserve Bank of New Zealand is the output gap. A … measure of potential output is obtained using a structural vector autoregression (SVAR) methodology. The assumption that … movements in output are the result of cyclical shocks arising from demand-side developments, and productivity shocks arising …

Persistent link: https://www.econbiz.de/10005061982

Is the output gap a useful indicator of inflation?

Claus, Iris - Reserve Bank of New Zealand - 2000

One of the main indicators of inflationary pressures used by the Reserve Bank of New Zealand is the output gap. The … output gap is not directly observable and estimates have to be inferred from the data. This paper evaluates whether the … output gap, however measured, is a good indicator of inflationary pressures in New Zealand. The results suggest that the …

Persistent link: https://www.econbiz.de/10005061992

A multivariate unobserved components model of cyclical activity

Scott, Alasdair - Reserve Bank of New Zealand - 2000

likelihood, the model identifies a common, trend-reverting component to real output, unemployment and capacity utilisation. The … structure of the model allows an interesting factor interpretation to be put on the estimate of the output gap. These estimates …

Persistent link: https://www.econbiz.de/10005061999

Factor model forecasts for New Zealand

Matheson, Troy - Reserve Bank of New Zealand - 2005

This paper focuses on forecasting four key New Zealand macroeconomic variables using a dynamic factor model and a large number of predictors. We compare the (simulated) real-time forecasting performance of the factor model with a variety of other time series models and gauge the sensitivity of...

Persistent link: https://www.econbiz.de/10005109762