Analysing shock transmission in a data-rich environment: A large BVAR for New Zealand

Release date
01/05/2008
Reference
DP2008/09
Authors
Chris Bloor; Troy Matheson
Published as
Bloor, Chris and Troy Matheson (2010). ‘Analysing shock transmission in a data-rich environment: A large BVAR for New Zealand’, Empirical Economics, Springer, Volume 39(2), Pages 537-558, DOI: https://doi.org/10.1007/s00181-009-0317-3.
We analyse a large Bayesian Vector Autoregression (BVAR) containing almost one hundred 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.