Showing 1 - 10 of 12
We develop a large Bayesian VAR (BVAR) model of the New Zealand economy that incorporates the conditional forecasting estimation techniques of Waggoner and Zha (1999). We examine the real-time forecasting performance as the size of the model increases using an unbalanced data panel. In a...
Persistent link: https://www.econbiz.de/10005007499
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
We analyse a large Bayesian Vector Autoregression (BVAR) containing almost one hundred New Zealand macroeconomic time series. Methods for allowing multiple blocks of equations with block-specific Bayesian priors are described, and forecasting results show that our model compares favourably to a...
Persistent link: https://www.econbiz.de/10005061983
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
We utilise prior information from a simple RBC model to improve ARMA forecasts of post-war US GDP. We develop three alternative ARMA forecasting processes that use varying degrees of information from the Campbell (1994) flexible labour model. Directly calibrating the model produces poor...
Persistent link: https://www.econbiz.de/10005109764
Stock and Watson (1999) show that the Phillips curve is a good forecasting tool in the United States. We assess whether this good performance extends to two small open economies, with relatively large tradable sectors. Using data for Australia and New Zealand, we find that the open economy...
Persistent link: https://www.econbiz.de/10005109787
The qualitative responses that firms give to business survey questions regarding changes in their own output provide a real-time signal of official output changes. The most commonly-used method to produce an aggregate quantitative indicator from business survey responses - the net balance, or...
Persistent link: https://www.econbiz.de/10005546685
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
We evaluate the performance of an open economy DSGE-VAR model for New Zealand along both forecasting and policy dimensions. We show that forecasts from a DSGE-VAR and a 'vanilla' DSGE model are competitive with, and in some dimensions superior to, the Reserve Bank of New Zealand's official...
Persistent link: https://www.econbiz.de/10005395312
We examine the informational content of New Zealand data releases using a parametric dynamic factor model estimated with unbalanced real-time panels of quarterly data. The data are categorised into 21 different release blocks, allowing us to make 21 different factor model forecasts each quarter....
Persistent link: https://www.econbiz.de/10005395316