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Discussion Papers

Reserve Bank discussion and research papers present the detailed scholarly research of staff economists and visiting scholars. The papers are published throughout the year mainly for academic and professional economists.

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2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | 2001 | 2000 | 1999 | 1998 | 1997

Papers for 2008

DP2008/09 Analysing shock transmission in a data-rich environment: A large BVAR for New Zealand / By Chris Bloor and Troy Matheson, May 2008

DP2008/08 A macro stress testing model with feedback effects / By Mizuho Kida, May 2008

DP2008/07 Heterogeneous Expectations, Adaptive Learning, and Forward-Looking Monetary Policy / By Martin Fukac, May 2008

DP2008/06 The tax system and housing demand in New Zealand / By David Hargreaves, February 2008

DP2008/05 How do Housing Wealth, Financial Wealth and Consumption Interact? Evidence from New Zealand / By Emmanuel De Veirman and Ashley Dunstan, February 2008

DP2008/04 'Automatic' cycle-stabilising capital requirements: what can be achieved? / By Tim Ng, February 2008

DP2008/03 Changes in the transmission mechanism of monetary policy in New Zealand / By Aaron Drew, Özer Karagedikli, Rishab Sethi and Christie Smith, February 2008

DP2008/02 Explaining Movements in the NZ Dollar - Central Bank Communication and the Surprise Element in Monetary Policy? / By Özer Karagedikli and Pierre L Siklos, January 2008

DP2008/01 Some benefits of monetary policy transparency in New Zealand / By Aaron Drew and Özer Karagedikli, January 2008

Papers for 2007

DP2007/15 RBCs amd DSGEs: The Computational Approach to Business Cycle Theory and Evidence / By Ozer Karagedikli, Troy Matheson, Christie Smith and Shaun P. Vahey, November 2007

DP2007/14 Which nonlinearity in the Phillips curve? The absence of accelerating deflation in Japan / By Emmanuel De Veirman, September 2007

DP2007/13 An analysis of the informational content of New Zealand data releases: the importance of business opinion surveys / By Troy Matheson, September 2007

DP2007/12 Housing markets and migration in New Zealand, 1962-2006 / By Andrew Coleman and John Landon-Lane, September 2007

DP2007/11 Credit constraints and housing markets in New Zealand / By Andrew Coleman, July 2007

DP2007/10 Understanding the New Zealand current account: a structural approach / By Anella Munro and Rishab Sethi, July 2007

DP2007/09 Local linear impulse responses for a small economy / By Alfred A. Haug and Christie Smith, April 2007

DP2007/08 The McKenna Rule and UK World War I Finance / By James M Nason and Shaun P Vahey, April 2007

DP2007/07 The pitfalls of estimating transactions costs from price data: evidence from trans-Atlantic gold-point arbitrage, 1886-1905 / By Andrew Coleman, April 2007

DP2007/06 Conditioning and Hessians in analytical and numerical optimization - Some illustrations / By Christie Smith, April 2007

DP2007/05 A model of spatial arbitrage with transport capacity constraints and endogenous transport prices / By Andrew Coleman, March 2007

DP2007/04 Stylised facts about New Zealand business cycles / By Sharon McCaw, March 2007

DP2007/03 Satisficing Solutions for New Zealand Monetary Policy / By Jacek Krawczyk and Rishab Sethi, March 2007

DP2007/02 Nowcasting and predicting data revisions in real time using qualitative panel survey data / By Troy Matheson, James Mitchell and Brian Silverstone, January 2007

DP2007/01 Open economy DSGE-VAR forecasting and policy analysis - head to head with the RBNZ published forecasts / By Kirdan Lees, Troy Matheson and Christie Smith, January 2007

Papers for 2006

DP2006/12 The Present Value Model and New Zealand's current account / By Anella Munro and Rishab Sethi, December 2006

DP2006/11 Assessing the fit of small open economy DSGEs / By Troy Matheson, December 2006

DP2006/10 A new core inflation indicator for New Zealand / By Domenico Giannone and Troy Matheson, December 2006

DP2006/09 Uncovering the Hit-list for Small Inflation Targeters: A Bayesian Structural Analysis / By Timothy Kam, Kirdan Lees and Philip Liu, November 2006

DP2006/08 What do robust policies look like for open economy inflation targeters? / By Kirdan Lees, September 2006

DP2006/07 How costly is exchange rate stabilisation for an inflation targeter? The case of Australia / By Mark Crosby, Tim Kam and Kirdan Lees, July 2006

DP2006/06 Family trusts: ownership, size, and their impact on measures of wealth and home ownership / By Phil Briggs, July 2006

DP2006/05 Should monetary policy attempt to reduce exchange rate volatility in New Zealand? / By Dominick Stephens, May 2006

DP2006/04 Other stabilisation objectives within an inflation targeting regime: Some stochastic simulation experiments / By James Twaddle; David Hargreaves; Tim Hampton, May 2006

DP2006/03 A Small New Keynesian Model of the New Zealand economy / By Philip Liu, May 2006

DP2006/02 Forecasting Substantial Data Revisions in the Presence of Model Uncertainty / By Anthony Garratt, Gary Koop and Shaun P. Vahey, February 2006

DP2006/01 Phillips curve forecasting in a small open economy / By Troy Matheson, February 2006

Papers for 2005

DP2005/07 Discretionary Policy, Potential Output Uncertainty, and Optimal Learning / By James Yetman, December 2005

DP2005/06 A Simple, Structural, and Empirical Model of the Antipodean Transmission Mechanism / By Thomas A Lubik, December 2005

DP2005/05 UIP, Expectations and the Kiwi / By Anella Munro, October 2005

DP2005/04 Reaction functions in a small open economy: What role for non-traded inflation? / By Ana Maria Santacreu, October 2005

DP2005/03 A happy "halfway-house"? Medium term inflation targeting in New Zealand / By Sam Warburton and Kirdan Lees, October 2005

DP2005/02 Mind your Ps and Qs! Improving ARMA forecasts with RBC priors / By Kirdan Lees and Troy Matheson, October 2005

DP2005/01 Factor model forecasts for New Zealand / By Troy Matheson, May 2005

Papers for 2004

DP2004/08 Examining finite-sample problems in the application of cointegration tests for long-run bilateral exchange rates / By Angela Huang, October 2004

DP2004/07 A model of Equilibrium Exchange Rates for the New Zealand and Australian dollar / By Simon Wren-Lewis, August 2004

DP2004/06 Improving implementation of inflation targeting in New Zealand: an investigation of the Reserve Bank's inflation errors / By Philip Liu, July 2004

DP2004/05 What can the Taylor rule tell us about a currency union between New Zealand and Australia? / By Nils Björksten, Arthur Grimes, Özer Karagedikli & Christopher Plantier, June 2004

DP2004/04 Estimates of the output gap in real time: how well have we been doing? / By Michael Graff, May 2004

DP2004/03 The equilibrium exchange rate according to PPP and UIP / By Dominick Stephens, April 2004

DP2004/02 Do inflation targeting central banks behave asymmetrically? Evidence from Australia and New Zealand / By Özer Karagedikli and Kirdan Lees, April 2004

DP2004/01 Estimating a time varying neutral real interest rate for New Zealand / By Olivier Basdevant, Nils Björksten and Özer Karagedikli, February 2004

Papers for 2003

DP2003/10 Speculative behaviour, debt default and contagion: A stylised framework of the Latin American Crisis 2001-2002 / By Louise Allsopp, December 2003

DP2003/09 Monetary policy and the volatility of real exchange rates in New Zealand / By Ken West, November 2003

DP2003/08 The stabilisation problem: the case of New Zealand / By Kirdan Lees, November 2003

DP2003/07 Has the rate of economic growth changed? Evidence and lessons for public policy / By Matthew Shapiro, August 2003

DP2003/06 Estimates of time-varying term premia for New Zealand and Australia / By Michael Gordon, August 2003

DP2003/05 Learning process and rational expectations: an analysis using a small macroeconomic model for New Zealand / By Olivier Basdevant, May 2003

DP2003/04 Monetary policy transmission mechanisms and currency unions: A vector error correction approach to a Trans-Tasman currency union / By Alfred A Haug, Özer Karagedikli and Satish Ranchhod, May 2003

DP2003/03 Modelling structural change: the case of New Zealand / By Olivier Basdevant and David Hargreaves, April 2003

DP2003/02 On applications of state-space modelling in macroeconomics / By Olivier Basdevant, April 2003

DP2003/01 Financial deregulation and household indebtedness / By Leslie Hull, January 2003

Papers for 2002

DP2002/08 Currency Unions and Trade: Variations on Themes by Rose and Persson / By Dr Peter Kenen, December 2002,

DP2002/07 Currency unions and gravity models revisited / By Christie Smith, November 2002,

DP2002/06 Estimating a Taylor Rule for New Zealand with a time-varying neutral real rate / By L Christopher Plantier and Dean Scrimgeour, May 2002,

DP2002/05 Foreign-owned banks: Implication for New Zealand's financial stability / By Leslie Hull, April 2002,

DP2002/04 Extracting market expectations from option prices: an application to over-the-counter New Zealand dollar options / By Aron Gereben, April 2002,

DP2002/03 Monetary policy and inflation forecasting with and without the output gap / By Weshah Razzak, March 2002,

DP2002/02 Modelling the long-run real effective exchange rate of the New Zealand Dollar / By Ronald MacDonald, October 2001,

DP2002/01 Extracting expectations of New Zealand's Official Cash Rate from the bank-risk yield curve / By Leo Krippner, March 2002,

Papers for 2001

DP2001/7 Is the Taylor rule really different from the McCallum rule? / By Weshah Razzak, October 2001,

DP2001/6 How much do import price shocks matter for consumer prices? / By Tim Hampton, November 2001,

DP2001/5 Central banking: back to the future / By Bruce White, September 2001

DP2001/04 Exchange rate volatility and Currency Union: Some theory and New Zealand evidence / By Dean Scrimgeour, August 2001

DP2001/03 Would adopting the Australian dollar provide superior monetary policy in New Zealand? / By Aaron Drew, Viv Hall, John McDermott and Robert St Clair, August 2001

DP2001/02 Money in the era of inflation targeting / By W A Razzak, July 2001

DP2001/01 PPP-based analysis of New Zealand's equilibrium exchange rate / By Anne-Marie Brook and David Hargreaves, July 2001,

Papers for 2000

DP2000/10 Interest rate smoothing in New Zealand and other dollar bloc countries / By Aaron Drew and L Christopher Plantier, December 2000

DP2000/09 A macroeconomic balance measure of New Zealand's equilibrium exchange rate / By Anne-Marie Brook and David Hargreaves, December 2000

DP2000/08 Inflation targeting under potential output uncertainty / By Victor Gaiduch and Ben Hunt, April 2000

DP2000/07 Stylised facts from output gap measures / By Alasdair Scott, January 2000

DP2000/06 A spectral analysis of New Zealand output gaps using Fourier and wavelet techniques / By Paul Conway and David Frame, June 2000

DP2000/05 Is the output gap a useful indicator of inflation / By Iris Claus, March 2000

DP2000/04 A multivariate unobserved components model of cyclical activity / By Alasdair Scott, January 2000

DP2000/03 Estimating potential output for New Zealand: a structural VAR approach / by Iris Claus, June 2000

DP2000/02 A comparison of the properties of NZM and FPS / By Aaron Drew and Benjamin Hunt, March 2000

DP2000/01 Uncertainty about the length of the monetary policy transmission lag: implications for monetary policy / By Yuong Ha, February 2000

Papers for 1999

G99/10 SDS-FPS: a small demand-side version of the Forecasting and Policy System core model / By David Hargreaves, December 1999

G99/9 The myth of co-moving commodity prices / By Paul Cashin, C John McDermott and Alasdair Scott, December 1999

G99/8 Booms and slumps in world commodity prices / By Paul Cashin, C John McDermott and Alasdair Scott, December 1999

G99/7 Concordance in business cycles / By C John McDermott and Alasdair Scott, December 1999

G99/6 Survey expectations of monetary conditions in New Zealand: determinants and implications for the transmission of policy / By Leo Bonato, Robert St. Clair and Rainer Winkelmann, March 1999

G99/5 Efficient simple policy rules and the implications of potential output uncertainty / By Aaron Drew and Ben Hunt, August 1999

G99/4 Exchange rate effects and inflation targeting in a small open economy: a stochastic analysis using FPS / By Paul Conway, Aaron Drew, Ben Hunt and Alasdair Scott, May 1998

G99/3 The forward rate unbiasedness hypothesis in inflation-targeting regimes / By Weshah Razzak, August 1999

G99/2 Noise trading and exchange rate regimes / By Olivier Jeanne and Andrew K Rose, March 1999

G99/1 Inter-forecast monetary policy implementation: fixed-instrument versus MCI-based strategies / By Ben Hunt, March 1999

Papers for 1998

G98/10 Price stability: some costs and benefits in New Zealand / By Leo Bonato, November 1998

G98/9 Core inflation: concepts, uses and measurements / By Scott Roger, July 1998

G98/8 Testing the predictive power of New Zealand bank bill futures rates / By Leo Krippner, June 1998

G98/7 The Forecasting and Policy System: preparing economic projections / By Aaron Drew and Ben Hunt, October 1998

G98/6 The Forecasting and Policy System: stochastic simulations of the core model / By Aaron Drew and Ben Hunt, October 1998

G98/5 The long-run nominal exchange rate: specification and estimation issues / By W A Razzak and Thomas Grennes, November 1998

G98/4 Business cycle asymmetries and the nominal exchange rate regimes / By W A Razzak, May 1998

G98/3 The Forecasting and Policy System: demand-side satellite models / By James Breece and Vincenzo Cassino, May 1998

G98/2 Productivity growth in New Zealand: economic reform and the convergence hypothesis / By Paul Conway and Ben Hunt, June 1998

G98/1 Determinants of New Zealand bond yields / By Kelly R Eckhold, January 1998

Papers for 1997

G97/9 Estimating potential output: a semi-structural approach / By Paul Conway and Ben Hunt, December 1997

G97/8 Inflation targeting in an open economy: strict or flexible inflation targeting? / By Lars E O Svensson, November 1997

G97/7 A robust measure of core inflation in New Zealand, 1949-96 / By Scott Roger, November 1997

G97/6 The alleged instability of nominal income targeting / By Bennett T. McCallum, August 1997

G97/5 Testing the rationality of the national bank of New Zealand's survey data / By W A Razzak, July 1997

G97/4 Current account and exchange rate behaviour under inflation targeting in a small open economy / By Francisco Nadal De Simone, July 1997

G97/3 Efficient rules for monetary policy / By Laurence Ball, Johns Hopkins University, January 1997

G97/2 The inflation-output trade-off: Is the Phillips Curve symmetric? A policy lesson from New Zealand / By Weshah Razzak, January 1997

G97/1 A measure of monetary conditions / By Richard Dennis, January 1997