New Zealand shares a wealth of common interests and experiences with Australia. This has tempted some to assume that these economies form an 'Economic Club', in which one would expect to identify common aggregate trends and growth experiences. In this paper we present results that test, and...

We develop a simple approach to identify economic news and monetary shocks at a high frequency. The approach is used to examine financial market developments in the United States following the Federal Reserve’s May 22, 2013 taper talk suggesting that it would begin winding down its...

We construct a DSGE-VAR model for competing head to head with the long history of published forecasts of the Reserve Bank of New Zealand. We also construct a Bayesian VAR model with a Minnesota prior for forecast comparison. The DSGE-VAR model combines a structural DSGE model with a statistical...

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

We describe a simple extension of the Monacelli (2005) small open economy model that incorporates a non-tradable good, habit persistence and price indexation. The empirical fit of eight different specifications of this model is then tested in a Bayesian framework using data for three small open...

Monetary conditions indices featured prominently as instrument variables or operating targets, particularly in the inflation-targeting countries during the 1990s. In this paper, we show that conventional monetary conditions indices are potentially mis-specified. Under a regime of strict...

Macroeconomic policy decisions in real-time are based on the assessment of current and future economic conditions. Crucially, these assessments are made difficult by the presence of incomplete and noisy data. The problem is more acute for emerging market economies, where most economic data are...

Abstract We develop a Bayesian VAR (BVAR) to produce conditional forecasts for the New Zealand economy. In a real-time out-of-sample forecasting exercise, we find that the BVAR outperforms a selection of other time series models, and it yields forecasts of similar accuracy to the forecasts...