Local linear impulse responses for a small open economy

Alfred Haug and Christie Smith (christierbnz@yahoo.com)

No 707, Working Papers from University of Otago, Department of Economics

Abstract: Traditional vector autoregressions derive impulse responses using iterative techniques that may compound specification errors. Local projection techniques are robust to this problem, and Monte Carlo evidence suggests they provide reliable estimates of the true impulse responses. We use local linear projections to investigate the dynamic properties of a model for a small open economy, New Zealand. We compare impulse responses from local projections to those from standard techniques, and consider the implications for monetary policy. We pay careful attention to the dimensionality of the model, and focus on effects of policy on GDP, interest rates, prices and exchange rates.

Keywords: Local linear projection-based impulse responses; structural identiÞcation for New Zealand (search for similar items in EconPapers)
JEL-codes: C51 E52 F41 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2007-04, Revised 2007-04
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15)

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Related works:
Journal Article: Local Linear Impulse Responses for a Small Open Economy (2012)
Working Paper: Local linear impulse responses for a small open economy (2007)
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