Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/205501
Authors: 
Buckle, Robert A
Kim, Kunhong
Kirkham, Heather
McLellan, Nathan
Sharma, Jared
Year of Publication: 
2002
Series/Report no.: 
New Zealand Treasury Working Paper No. 02/26
Publisher: 
New Zealand Government, The Treasury, Wellington
Abstract: 
This paper develops a new open economy structural VAR model of the New Zealand economy. The model adopts techniques introduced by Cushman and Zha (1997) and Dungey and Pagan (2000) to identify international and domestic shocks and dynamic responses to these shocks in a small open economy. The international variables are block exogenous and the model includes restrictions on contemporaneous and lagged variables. Novel features include the introduction of an expanded set of domestic financial variables not captured in previous New Zealand VAR models, the use of a forward looking Taylor Rule to identify monetary policy, and the introduction of a climate variable to capture the impact of climatic conditions on the business cycle. Key results to emerge are the significant influence of international variables on the New Zealand business cycle, the importance of separately identifying import price and export price shocks, and the significant influence of climate.
Subjects: 
Open economy
structural VAR models
business cycles
climate
commodity prices
international linkages
financial conditions.
JEL: 
C22
E32
E44
F41
Creative Commons License: 
https://creativecommons.org/licenses/by/4.0/
Document Type: 
Working Paper

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