Externally published research

Our staff regularly publish their work in domestic and international peer-reviewed journals, books, and conference volumes. This page summarises the external publications based on research partially or fully conducted at the Bank, including work that has previously been published as Discussion Papers and Analytical Notes.

2019

Loan-to-value ratio restrictions and house prices: Micro evidence from New Zealand
Jed Armstrong, Hayden Skilling, and Fang Yao
Journal of Housing Economics
(Based on RBNZ DP2018/05)

Global factors and trend inflation
Güneş Kamber and Benjamin Wong
Journal of International Economics
(Based on RBNZ DP2018/01)

Macroprudential policies in a low interest-rate environment
Margarita Rubio and Fang Yao
Journal of Money, Credit and Banking
(Based on RBNZ DP2017/04)

Skilled migration and business cycle dynamics
Christie Smith and Christoph Thoenissen
Journal of Economic Dynamics and Control
(Based on RBNZ DP2018/07)

Loss aversion in New Zealand housing
Ryan Greenaway-McGrevy and Cameron Haworth
New Zealand Economic Papers

Contributions of employment change to annual wage growth in New Zealand
Dean Hyslop and Amy Rice
Australian Economic Review

Deep habits and exchange rate pass-through
Punnoose Jacob and Lenno Uusküla
Journal of Economic Dynamics and Control

A note of caution on shadow rate estimates
Leo Krippner
Journal of Money, Credit and Banking

Estimating and accounting for the output gap with large Bayesian vector autoregressions
James Morley and Benjamin Wong
Journal of Applied Econometrics

Nowcasting New Zealand GDP using machine learning algorithms
Adam Richardson, Thomas van Florenstein Mulder, and Tuğrul Vehbi
Irving Fisher Committee Bulletins, Bank for International Settlements

Measuring uncertainty for New Zealand using data-rich approach
Trung Duc Tran, Tuğrul Vehbi, and Benjamin Wong
Australian Economic Review

2018

Asset market responses to conventional and unconventional monetary policy shocks in the United States
Edda Claus, Iris Claus, and Leo Krippner
Journal of Banking and Finance
(Based on RBNZ DP2014/03)

Cyclical changes in firm volatility
Emmanuel De Veirman and Andrew Levin
Journal of Money, Credit and Banking
(Based on RBNZ DP2011/06)

Measuring uncertainty and its impact on the New Zealand economy
Lucy Greig, Amy Rice, Tuğrul Vehbi, and Benjamin Wong
Australian Economic Review
(Based on RBNZ AN2018/01)

A prudential stable funding requirement and monetary policy in a small open economy
Punnoose Jacob and Anella Munro
Journal of Banking and Finance
(Based on RBNZ DP2016/04)

Intuitive and reliable estimates of the output gap from a Beveridge-Nelson filter
Güneş Kamber, James Morley, and Benjamin Wong
The Review of Economics and Statistics
(Based on RBNZ DP2017/01)

Inflation expectations and low inflation in New Zealand
Özer Karagedikli and C. John McDermott
New Zealand Economic Papers
(Based on RBNZ DP2016/09)

Crypto-currencies – An introduction to not-so-funny moneys
Aaron Kumar and Christie Smith
Journal of Economics Surveys
(Based on RBNZ AN2017/07)

The impact of disasters on inflation
Miles Parker
Economics of Disasters and Climate Change
(Based on RBNZ DP2016/06)

How global is “global inflation”?
Miles Parker
Journal of Macroeconomics
(Based on RBNZ DP2016/05)

Explosiveness in G11 currencies
Daan Steenkamp
Economic Modelling
(Based on RBNZ DP2017/02)

Factor substitution and productivity in New Zealand
Daan Steenkamp
The Economic Record
(Based on RBNZ DP2016/12)

Commodity prices and labour market dynamics in small open economies
Martin Bodenstein, Güneş Kamber, and Christoph Thoenissen
Journal of International Economics

Contemporary topics in finance: A collection of literature surveys
Iris Claus and Leo Krippner
Journal of Economic Surveys

2017

Are supply shocks important for real exchange rates? A fresh view from the frequency-domain
Britta Gehrke and Fang Yao
Journal of International Money and Finance
(Based on RBNZ DP2016/02)

Policy uncertainty from a central bank perspective
C. John McDermott
Australian Economic Review
(Based on RBNZ Speech 5/10/2016)

Price-setting behaviour in New Zealand
Miles Parker
New Zealand Economic Papers
(Based on RBNZ DP2014/04)

News-driven business cycles in small open economies
Güneş Kamber, Konstantinos Theodoridis, and Christoph Thoenissen
Journal of International Economics

2016

Monetary policy spillovers across the Pacific when interest rates are at the zero lower bound
Edda Claus, Iris Claus, and Leo Krippner
Asian Economic Papers
(Based on RBNZ DP2016/08)

Mismatch shocks and unemployment during the Great Recession
Francesco Furlanetto and Nicolas Groshenny
Journal of Applied Econometrics
(Based on RBNZ DP2012/06)

Recessions and recoveries in New Zealand's post-Second World War business cycles
Viv Hall and John McDermott
New Zealand Economic Papers
(Based on RBNZ DP2014/02)

Modelling the business cycle of a small open economy: The Reserve Bank of New Zealand's DSGE model
Güneş Kamber, Chris McDonald, Nick Sander, and Konstantinos Theodoridis
Economic Modelling
(Based on RBNZ DP2015/05)

What happens when the Kiwi flies? Sectoral effects of exchange rate shocks on the New Zealand economy
Özer Karagedikli, Michael Ryan, Daan Steenkamp, and Tugrul Vehbi
Economic Modelling
(Based on RBNZ DP2013/05)

New Zealand's experience with changing its inflation target and the impact on inflation expectations
Michelle Lewis and John McDermott
New Zealand Economic Papers
(Based on RBNZ DP2016/07)

The interest rate pass-through in the euro area during the sovereign debt crisis
Julia Von Borstel, Sandra Eickmeier, and Leo Krippner
Journal of International Money and Finance
(Based on RBNZ DP2015/03)

Structural VARs, deterministic and stochastic trends: how much detrending matters for shock identification
Varang Wiriyawit and Benjamin Wong
Studies in Nonlinear Dynamics and Econometrics
(Based on RBNZ DP2015/02)

2015

Over the hedge: Do exporters practice selective hedging?
Richard Fabling and Arthur Grimes
Journal of Futures Markets
(Based on RBNZ DP2008/14)

Export performance, invoice currency and heterogeneous exchange rate pass‐through
Richard Fabling and Lynda Sanderson
World Economy
(Based on RBNZ DP2013/01)

Deep habits, price rigidities, and the consumption response to government spending
Punnoose Jacob
Journal of Money, Credit and Banking
(Based on RBNZ DP2013/03)

Applying an inflation-targeting lens to macroprudential policy "institutions"
Güneş Kamber, Özer Karagedikli, and Christie Smith
International Journal of Central Banking
(Based on RBNZ DP2015/04)

A theoretical foundation for the Nelson-Siegel class of yield curve models
Leo Krippner
Journal of Applied Econometrics
(Based on RBNZ DP2010/11)

Do inflation expectations propagate the inflationary impact of real oil price shocks? : Evidence from the Michigan Survey
Benjamin Wong
Journey of Money, Credit and Banking
(Based on RBNZ DP2015/01)

Financial frictions and the role of investment-specific technology shocks
Güneş Kamber, Christie Smith, and Christoph Thoenissen
Economic Modelling

Zero Lower Bound Term Structure Modeling: A Practitioner’s Guide, Palgrave Macmillan.
Leo Krippner

Exchange rates, expected returns and risk: What can we learn from Asia Pacific currencies?
Anella Munro
BIS Papers Chapters

Comments on: ‘Effectiveness of macroprudential and capital flow measures in Asia and the Pacific’
Christie Smith
BIS Papers Chapters

2014

A note on the business cycle implications of trade in intermediate goods
Aurélien Eyquem and Güneş Kamber
Macroeconomic Dynamics
(Based on RBNZ DP2010/04)

The “suite” smell of success: Personnel practices and firm performance
Fabling, Richard and Arthur Grimes
ILR Review
(Based on RBNZ DP2009/13)

Foreign acquisition and the performance of New Zealand firms
Richard Fabling and Lynda Sanderson
New Zealand Economic Papers
(Based on RBNZ DP2011/08)

Measuring output gap nowcast uncertainty
Anthony Garratt, James Mitchell, and Shaun Vahey
International Journal of Forecasting
(Based on RBNZ DP2009/15)

2013

Exporting and firm performance: Market entry, investment and expansion
Richard Fabling and Lynda Sanderson
Journal of International Economics
(Based on RBNZ DP2010/07)

Monetary policy, inflation and unemployment: In defense of the Federal Reserve
Nicolas Groshenny
Macroeconomic Dynamics
(Based on RBNZ DP2010/14)

Dissecting the dynamics of the US trade balance in an estimated equilibrium model
Punnoose Jacob and Gert Peersman
Journal of International Economics
(Based on RBNZ DP2013/04)

Financial exposure and the international transmission of financial shocks
Güneş Kamber and Christoph Thoenissen
Journal of Money, Credit and Banking
(Based on RBNZ DP2013/06)

Measuring the stance of monetary policy in zero lower bound environments
Leo Krippner
Economics Letters
(Based on RBNZ DP2012/04)

2012

Estimated small open economy model with frictional unemployment
Julien Albertini, Güneş Kamber, and Michael Kirker
Pacific Economic Review
(Based on RBNZ DP2011/04)

The relative size of exchange rate and interest rate responses to news: An empirical investigation
Andrew Coleman and Özer Karagedikli
The North American Journal of Economics and Finance
(Based on RBNZ DP2008/12)

The information content of central bank interest rate projections: Evidence from New Zealand
Gunda-Alexandra Detmers and Nautz Dieter
The Economic Record
(Based on RBNZ DP2012/03)

When did firms become more different? Time-varying firm-specific volatility in Japan
Emmanuel De Veirman and Andrew Levin
Journal of the Japanese and International Economies
(Based on RBNZ DP2009/20)

Debt dynamics and the relationship between consumption and cyclical wealth changes
Emmanuel De Veirman and Ashley Dunstan
The Economic Record
(Based on RBNZ DP2010/09)

Whatever next? Export market choices of New Zealand firms
Richard Fabling, Arthur Grimes, and Lynda Sanderson
Papers in Regional Science
(Based on RBNZ DP2009/19)

Local linear impulse responses for a small open economy
Alfred Haug and Christie Smith
Oxford Bulletin of Economics and Statistics
(Based on RBNZ DP2007/09)

Using estimated models to assess nominal and real rigidities in the United Kingdom
Güneş Kamber and Stephen Millard
International Journal of Central Banking
(Based on RBNZ DP2010/05)

The financial accelerator and monetary policy rules
Güneş Kamber and Christoph Thoenissen
Economics Letters
(Based on RBNZ DP2009/02)

2011

Real-time conditional forecasts with Bayesian VARs: An application to New Zealand
Chris Bloor and Troy Matheson
The North American Journal of Economics and Finance
(Based on RBNZ DP2009/02)

Global shocks, economic growth and financial crises: 120 years of New Zealand experience
Michael Bordo, David Hargreaves, and Mizuho Kida
Financial History Review
(Based on RBNZ DP2009/17)

Time-varying returns, intertemporal substitution and cyclical variation in consumption
Emmanuel De Veirman, and Ashley Dunstan
The B.E. Journal of Macroeconomics
(Based on RBNZ DP2011/05)

Forecasting national activity using lots of international predictors: An application to New Zealand
Sandra Eickmeier and Tim Ng
International Journal of Forecasting
(Based on RBNZ DP2009/04)

Monetary policy implementation and uncovered interest parity: Empirical evidence from Oceania
Alfred Guender and Bevan Cook
New Zealand Economic Papers,
(Based on RBNZ DP2010/12)

A quarterly post-Second World War real GDP series for New Zealand
Viv Hall and C. John McDermott
New Zealand Economic Papers
(Based on RBNZ DP2009/12)

Open economy forecasting with a DSGE-VAR: Head to head with the RBNZ published forecasts
Kirdan Lees, Troy Matheson, and Christie Smith
International Journal of Forecasting
(Based on RBNZ DP2007/01)

2010

Using wavelets to measure core inflation: The case of New Zealand
David Baqaee
The North American Journal of Economics and Finance
(Based on RBNZ DP2009/05)

Analysing shock transmission in a data-rich environment: A large BVAR for New Zealand
Chris Bloor and Troy Matheson
Empirical Economics
(Based on RBNZ DP2008/09)

Entrepreneurship and aggregate merchandise trade growth in New Zealand
Richard Fabling and Lynda Sanderson
Journal of International Entrepreneurship
(Based on RBNZ DP2009/09)

Limited information estimation and evaluation of DSGE models
Martin Fukač and Adrian Pagan
Journal of Applied Econometrics
(Based on RBNZ DP2008/11)

Practical monetary policies
Alfred Guender and David Gillmore
International Finance
(Based on RBNZ DP2008/15)

Combining forecast densities from VARs with uncertain instabilities
Anne Sofie Jore, James Mitchell, and Shaun Vahey
Journal of Applied Econometrics
(Based on RBNZ DP2008/18)

RBCs and DSGEs - the computational approach to business cycle theory and evidence
Özer Karagedikli, Troy Matheson, Christie Smith and Shaun Vahey
Journal of Economic Surveys
(Based on RBNZ DP2007/15)

A happy "half way-house"? Medium term inflation targeting in New Zealand
Kirdan Lees and Sam Warburton
Journal of International Money and Finance
(Based on RBNZ DP2005/03)

Assessing the fit of small open economy DSGEs
Troy Matheson
Journal of Macroeconomics
(Based on RBNZ DP2006/11)

An analysis of the informational content of New Zealand data releases: The importance of business opinion surveys
Troy Matheson
Economic Modelling
(Based on RBNZ DP2007/13)

Nowcasting and predicting data revisions using panel survey data
Troy Matheson, James Mitchell, and Brian Silverstone
Journal of Forecasting
(Based on RBNZ DP2007/02)

2009

A model of spatial arbitrage with transport capacity constraints and endogenous transport prices
Andrew Coleman
American Journal of Agricultural Economics
(Based on RBNZ DP2007/05)

What makes the output-inflation trade-off change? The absence of accelerating deflation in Japan
Emmanuel De Veirman
Journal of Money, Credit and Banking
(Based on RBNZ DP2007/14)

Real-time prediction with U.K. monetary aggregates in the presence of model uncertainty
Anthony Garratt, Gary Koop, Emi Mise, and Shaun Vahey
Journal of Business and Economic Statistics
(Based on RBNZ DP2008/13)

Uncovering the hit list for small inflation targeters: A bayesian structural analysis
Timothy Kam, Kirdan Lees, and Phillip Liu
Journal of Money, Credit and Banking
(Based on RBNZ DP2006/09)

2008

How costly is exchange rate stabilisation for an inflation targeter? The case of Australia
Mark Crosby, Timothy Kam, and Kirdan Lees
The Economic Record
(Based on RBNZ DP2006/07)

Forecasting substantial data revisions in the presence of model uncertainty
Anthony Garratt, Gary Koop, and Shaun Vahey
The Economic Journal
(Based on RBNZ DP2006/02)

Phillips curve forecasting in a small open economy
Troy Matheson
Economics Letters
(Based on RBNZ DP2006/01)

2007

The pitfalls of estimating transactions costs from price data: Evidence from trans-Atlantic gold-point arbitrage, 1886-1905
Andrew Coleman
Explorations in Economic History
(Based on RBNZ DP2007/07)

Some benefits of monetary policy transparency in New Zealand
Aaron Drew and Özer Karagedikli
Czech Journal of Economics and Finance
(Based on RBNZ DP2008/01)

A new core inflation indicator for New Zealand
Domenico Giannone and Troy Matheson
International Journal of Central Banking
(Based on RBNZ DP2006/10)

Do the central banks of Australia and New Zealand behave asymmetrically? Evidence from monetary policy reaction functions
Özer Karagedikli and Kirdan Lees
Economic Record
(Based on RBNZ DP2004/02)

Mind your ps and qs! Improving ARMA forecasts with RBC priors
Kirdan Lees and Troy Matheson
Economics Letters
(Based on RBNZ DP2005/02)

The McKenna Rule and UK World War I Finance
James Nason and Shaun Vahey
American Economic Review
(Based on RBNZ DP2007/08)

2006

A simple, structural, and empirical model of the antipodean transmission mechanism
Thomas Lubik
New Zealand Economic Papers
(Based on RBNZ DP2005/06)

Factor model forecasts for New Zealand
Troy Matheson
International Journal of Central Banking
(Based on RBNZ DP2005/01)

2005

Learning process and rational expectations: An analysis using a small macro-economic model for New Zealand
Olivier Basdevant
Economic Modelling
(Based on RBNZ DP2003/05)

Monetary policy transmission mechanisms and currency unions: A vector error correction approach to a Trans-Tasman currency union
Alfred Haug, Özer Karagedikli, and Satish Ranchhod
Journal of Policy Modeling
(Based on RBNZ DP2003/04)

2004

What does the Taylor rule say about a New Zealand-Australia currency union?
Nils Bjorksten, Arthur Grimes, Özer Karagedikli, and Christopher Plantier
Economic Record
(Based on RBNZ DP2004/05)

Would adopting the Australian dollar provide superior monetary policy in New Zealand?
Aaron Drew, Viv Hall, C. John McDermott and Robert St.Clair
Economic Modelling
(Based on RBNZ DP2001/03)

Estimates of time‐varying term premia for New Zealand and Australia
Michael Gordon
Managerial Finance
(Based on RBNZ DP2003/06)

2003

Estimating potential output for New Zealand
Iris Claus
Applied Economics
(Based on RBNZ DP2000/03)

Monetary policy and the volatility of real exchange rates in New Zealand
Kenneth West
New Zealand Economic Papers
(Based on RBNZ DP2003/09)

Probing potential output: Monetary policy, credibility, and optimal learning under uncertainty
James Yetman
Journal of Macroeconomics
(Based on RBNZ DP2005/07)

2002

Booms and slumps in world commodity prices
Paul Cashin, C. John McDermott, and Alasdair Scott
Journal of Development Economics
(Based on RBNZ G99/8)

Noise trading and exchange rate regimes
Olivier Jeanne and Andrew Rose
The Quarterly Journal of Economics
(Based on RBNZ G99/2)

Modelling the long–run real effective exchange rate of the New Zealand dollar
Ronald MacDonald
Australian Economic Papers
(Based on RBNZ DP2002/02)

2001

Business cycle asymmetries: International evidence
Weshah Razzak
Review of Economic Dynamics
(Based on RBNZ G98/4)

Is the Taylor rule really different from the McCallum rule?
Weshah Razzak
Contemporary Economic Policy
(Based on RBNZ DP2001/07)

2000

Efficient simple policy rules and the implications of potential output uncertainty
Aaron Drew and Benjamin Hunt
Journal of Economics and Business
(Based on RBNZ G99/5)

1999

Efficient rules for monetary policy
Laurence Ball
International Finance
(Based on RBNZ G97/3)

Price stability: Some costs and benefits in New Zealand
Leo Bonato
New Zealand Economic Papers
(Based on RBNZ G98/10)