Growth and volatility regime switching models for New Zealand GDP data

Robert Buckle (), David Haugh and Peter Thomson ()
Additional contact information
Peter Thomson: The Treasury (Buckle, Haugh)

No 02/08, Treasury Working Paper Series from New Zealand Treasury

Abstract: This paper fits hidden Markov switching models to New Zealand GDP data. A primary objective is to better understand the utility of these methods for modelling growth and volatility regimes present in the New Zealand data and their interaction. Properties of the models are developed together with a description of the estimation methods, including use of the Expectation Maximisation (EM) algorithm. The models are fitted to New Zealand GDP and production sector growth rates to analyse changes in their mean and volatility over time. The paper discusses applications of the methodology to identifying changes in growth performances, and examines the timing of growth and volatility regime switching between production sectors. 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 during the 1990s. The paper evaluates sector contributions to this 1990s experience and discusses directions for further development.

Keywords: Hidden Markov models; regime switching; growth; business cycles; volatility; production sectors; GDP. (search for similar items in EconPapers)
JEL-codes: C22 E23 E32 O47 (search for similar items in EconPapers)
Pages: 56 pages
Date: 2002-06
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
https://treasury.govt.nz/sites/default/files/2007-10/twp02-08.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nzt:nztwps:02/08

Access Statistics for this paper

More papers in Treasury Working Paper Series from New Zealand Treasury New Zealand Treasury, PO Box 3724, Wellington 6140, New Zealand. Contact information at EDIRC.
Bibliographic data for series maintained by CSS I&T Web & Publishing, The Treasury ().