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

Chris Bloor () and Troy D. Matheson ()

No DP2008/09, Reserve Bank of New Zealand Discussion Paper Series from Reserve Bank of New Zealand

Abstract: 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 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.

JEL-codes: C11 C13 C33 C53 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-ecm and nep-mac
Date: 2008-05
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