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...

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...

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...

The Reserve Bank recently imposed a loan-to-value ratio limit governing bank lending on residential mortgages. This note outlines the analysis undertaken to estimate the likely impact of this limit on several macro-economically significant variables.

Economic forecasts, in particular the forecasts for inflation, are an important part of the monetary policy formulation process at the Reserve Bank. The forecasts from a range of statistical models provide an important cross check for the forecasts produced by the main policy model that supports...

The changing interaction between economic and financial developments around the world is prompting lively debate in the academic and central banking community about the use of money and credit measures in contemporary monetary policy formulation. Currently, money and credit measures generally...

This article examines the concept of financial system efficiency in the New Zealand context. The primary function of the financial system is to facilitate the allocation of society’s scarce resources, both across the economic system and over time, in an environment of inherent uncertainty. If...

This paper examines the macroeconomic effects of a bank stable funding requirement of the type proposed under Basel III and introduced in New Zealand in 2010. The paper sets out a small open economy model incorporating a banking sector funded by retail deposits and short- and long-term wholesale...

Financial turbulence over the past two years has generated increased interest in the analysis of financial stability. However, such analysis often suffers from conceptual difficulties and a lack of measurability. This paper develops a ‘cobweb model’ for analysing financial stability in New...