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Analysing shock transmission in a data-rich environment: a large BVAR for New Zealand

Abstract

We analyse a large Bayesian Vector Autoregression (BVAR) containing almost 100 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 range of other time series models. Examining the impulse responses to a monetary policy shock and to two less conventional shocks—net migration and the climate—we highlight the usefulness of the large BVAR in analysing shock transmission.

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Correspondence to Troy Matheson.

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Bloor, C., Matheson, T. Analysing shock transmission in a data-rich environment: a large BVAR for New Zealand. Empir Econ 39, 537–558 (2010). https://doi.org/10.1007/s00181-009-0317-3

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Keywords

  • Bayesian VAR
  • Impulse responses

JEL Classification

  • C11
  • C13
  • C33
  • C53