Graphs for DP 2007/04
Contents:
For data definitions and sources see DP 2007/04 Appendix 2.
Abbreviations:
APC - Annual percent change
QPC - Quarterly percent change
AD - Annual
difference
QD - Quarterly difference
HP - Hodrick-Prescott filtered
(lambda=1600)
Note that the documents linked-to below are in Adobe PDF format, under 500KB in size.
Domestic correlations
The top three figures on each page are:
- the raw data versus the seasonally adjusted series,
- the seasonally adjusted series versus the X12 trend-cycle component, and
- the X12 trend-cycle component versus the versus its HP-filtered trend (when used).
The next lines of graphs show correlations with GDP, CPI inflation, non-tradables inflation, and 90 day interest rates respectively. (The transforms match the series in question; see the figure titles). The three figures in each line show:
- a bivariate plot,
- a bar chart of correlations from -6 to +6 quarters, and
- rolling correlations (40 quarter window) at -6, 0 and +6 quarters.
The figures are for the full sample period 1987Q2-2006Q2, and an HP filter lambda of 1600. Those for other lambda values or sample periods are available on request.
The figures are in multipage PDF documents in the order listed. Not all transforms are available for all series, and not all series are available for all countries.
GDP and components
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Labour market
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HP-filtered APCs (except net migration and unemployment rate: AD): NZ AU US
HP-filtered QPCs (except net migration and unemployment rate: QD): NZ AU US
Non-filtered levels (capacity utilisation and unemployment rate only): NZ AU US
Non-filtered APCs (except net migration and unemployment rate: AD): NZ AU US
Non-filtered QPCs (except net migration and unemployment rate: QD): NZ AU US
Prices
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Financial
- 90 day rates
- 5 year rates
- Real 90 day rates
- Real 5 year rates
- Nominal exchange rate
- Real exchange rate
HP-filtered ADs (interest rates) or APCs (exchange rates): NZ AU US
HP-filtered QDs (interest rates) or QPCs (exchange rates): NZ AU US
Non-filtered ADs (interest rates) or APCs (exchange rates): NZ AU US
Non-filtered QDs (interest rates) or QPCs (exchange rates): NZ AU US
Correlations between NZ and foreign variables
Correlations between NZ and foreign inflation and interest rates
Correlations of NZ series with foreign output and commodity prices
The following graph pages give the cross-correlations of HP1600 gaps of various NZ variables with the US, Australian and trade-weighted output gaps, and the NZ commodity world price gap.
Real GDP and its domestic components:
GDP, consumption, investment, and investment split: residential/non-residential
Export volumes, and split: goods (commodity/non-commodity),
services
Import volumes, and split: goods/services
Export values, and
split: goods/services
Import values, and split: goods/services
Net
export volumes, net export values, current account balance
Annual inflation in CPI and split: non-tradables
(construction/non-construction), tradables
Terms of trade (level)
TWI, real exchange rate, 90 day rate, 5 year interest rate
