Markov Switching Models for GDP Growth in a Small Open Economy: The New Zealand Experience
This paper fits Markov switching models to quarterly New Zealand aggregate GDP growth rates for the period 1978:1 to 2003:2 in order to analyse changes in mean and volatility over time. The models considered are drawn from a simple class of parsimonious, four state, Markov switching models which enc...
Gespeichert in:
| 1. Verfasser: | |
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| Weitere Verfasser: | , |
| Format: | Elektronisch Buchkapitel |
| Sprache: | English |
| Veröffentlicht: |
Paris
OECD Publishing
2004
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| Schlagworte: | |
| Online-Zugang: | DE-384 DE-473 DE-824 DE-29 DE-739 DE-355 DE-20 DE-1028 DE-1049 DE-521 DE-861 DE-898 DE-92 DE-91 DE-573 DE-19 URL des Erstveröffentlichers |
| Zusammenfassung: | This paper fits Markov switching models to quarterly New Zealand aggregate GDP growth rates for the period 1978:1 to 2003:2 in order to analyse changes in mean and volatility over time. The models considered are drawn from a simple class of parsimonious, four state, Markov switching models which encompass a wide range of stationary time series behaviour from linear AR(1) models to non-linear models with persistent cycles and outliers. An overall objective is to use the models to help understand and identify changes in the historical growth performance of New Zealand's small open economy, particularly pre and post wide ranging economic reforms. Conclusions to emerge are that, in contrast to the 1980s, New Zealand GDP growth experienced an unusually long period of time in high growth and low volatility regimes since the early 1990s. In addition, New Zealand does not appear to have ... |
| Beschreibung: | 1 Online-Ressource (31 Seiten) |
| DOI: | 10.1787/jbcma-v2004-art13-en |
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| spelling | Buckle, Robert A... Verfasser aut Markov Switching Models for GDP Growth in a Small Open Economy The New Zealand Experience Robert A. Buckle, David Haugh and Peter Thomson Paris OECD Publishing 2004 1 Online-Ressource (31 Seiten) txt rdacontent c rdamedia cr rdacarrier This paper fits Markov switching models to quarterly New Zealand aggregate GDP growth rates for the period 1978:1 to 2003:2 in order to analyse changes in mean and volatility over time. The models considered are drawn from a simple class of parsimonious, four state, Markov switching models which encompass a wide range of stationary time series behaviour from linear AR(1) models to non-linear models with persistent cycles and outliers. An overall objective is to use the models to help understand and identify changes in the historical growth performance of New Zealand's small open economy, particularly pre and post wide ranging economic reforms. Conclusions to emerge are that, in contrast to the 1980s, New Zealand GDP growth experienced an unusually long period of time in high growth and low volatility regimes since the early 1990s. In addition, New Zealand does not appear to have ... Economics New Zealand Haugh, David ctb Thomson, Peter ctb https://doi.org/10.1787/jbcma-v2004-art13-en Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Buckle, Robert A.. Markov Switching Models for GDP Growth in a Small Open Economy The New Zealand Experience Economics New Zealand |
| title | Markov Switching Models for GDP Growth in a Small Open Economy The New Zealand Experience |
| title_auth | Markov Switching Models for GDP Growth in a Small Open Economy The New Zealand Experience |
| title_exact_search | Markov Switching Models for GDP Growth in a Small Open Economy The New Zealand Experience |
| title_exact_search_txtP | Markov Switching Models for GDP Growth in a Small Open Economy The New Zealand Experience |
| title_full | Markov Switching Models for GDP Growth in a Small Open Economy The New Zealand Experience Robert A. Buckle, David Haugh and Peter Thomson |
| title_fullStr | Markov Switching Models for GDP Growth in a Small Open Economy The New Zealand Experience Robert A. Buckle, David Haugh and Peter Thomson |
| title_full_unstemmed | Markov Switching Models for GDP Growth in a Small Open Economy The New Zealand Experience Robert A. Buckle, David Haugh and Peter Thomson |
| title_short | Markov Switching Models for GDP Growth in a Small Open Economy |
| title_sort | markov switching models for gdp growth in a small open economy the new zealand experience |
| title_sub | The New Zealand Experience |
| topic | Economics New Zealand |
| topic_facet | Economics New Zealand |
| url | https://doi.org/10.1787/jbcma-v2004-art13-en |
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