Analysing shock transmission in a data-rich environment: a large BVAR for New Zealand |
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Authors: | Chris Bloor Troy Matheson |
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Affiliation: | 1. Economics Department, RBNZ, P.O. Box 2498, Wellington, New Zealand
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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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