http://www.bis.org/cbhub/list/country/country_new zealand/index.rss Latest research hub papers from New Zealand en http://www.rbnz.govt.nz/research/discusspapers/dp11_08.pdf Reserve Bank of New Zealand Discussion Papers by Richard Fabling and Lynda Sanderson Foreign acquisition and the performance of New Zealand firms 2011-12-16T12:43:00Z This paper examines the firm-level determinants of foreign acquisitions of New Zealand companies, and the consequences for both the purchased firms and the workers within those firms. We follow a combined propensity score matching and difference-in-differences approach to identify and address endogenous selection of acquisition targets. The results suggest that foreign firms tend to target high-performing New Zealand companies. Acquired firms then exhibit higher growth in average wages and output, relative to similar domestic firms, but do not appear in general to increase their productivity or capital intensity. We find no evidence of differential survival rates for recently acquired foreign firms. Foreign acquisition and the performance of New Zealand firms 2011-12-16T12:43:00Z Full text http://www.rbnz.govt.nz/research/discusspapers/dp11_08.pdf Lynda Sanderson Richard Fabling Richard Fabling and Lynda Sanderson 2011 Reserve Bank of New Zealand Discussion Papers http://www.rbnz.govt.nz/research/discusspapers/dp11_06.pdf Reserve Bank of New Zealand Discussion Papers by Emmanuel De Veirman and Andrew Levin Cyclical changes in firm volatility 2011-11-24T06:21:59Z We estimate changes in the volatility of firm-level sales, earnings and employment growth of US firms. Our method differs from existing measures for firm-level sales and employment volatility in that it not only captures longer-run changes in volatility, but also measures cyclical changes in firm volatility. We detect substantial cyclical variation in firm-specific volatility around trend. Firm-specific volatility was low in the early 1990s, rose in the mid- and late-1990s, and was high around 2000. Our results are consistent with the hypothesis, deduced from models with financial frictions, that rising idiosyncratic volatility before 2001 contributed to the coincident rise in the external finance premium and to the 2001 recession. Endogenous pricing models imply that price adjustment is less frequent, and disinflation more costly, when firm-specific volatility is low. Consistent with endogenous pricing models, we find that the output cost of disinflation was three times larger in the early 1990s than in the early 2000s. Cyclical changes in firm volatility 2011-11-24T06:21:59Z Full text http://www.rbnz.govt.nz/research/discusspapers/dp11_06.pdf Andrew T. Levin Emmanuel De Veirman Emmanuel De Veirman and Andrew Levin 2011 Reserve Bank of New Zealand Discussion Papers http://www.rbnz.govt.nz/research/discusspapers/dp11_07.pdf Reserve Bank of New Zealand Discussion Papers by Sarah Drought and Chris McDonald Forecasting house price inflation: a model combination approach 2011-11-24T06:21:59Z In this paper we use a range of statistical models to forecast New Zealand house price inflation. We address the issue of model uncertainty by combining forecasts using weights based on out-of-sample forecast performance. We consider how the combined forecast for house prices performs relative to both the individual model forecasts and the Reserve Bank of New Zealand's house price forecasts. We find that the combination forecast is on par with the best of the models for most forecast horizons, and has produced lower root mean squared forecast errors than the Reserve Bank's forecasts. Forecasting house price inflation: a model combination approach 2011-11-24T06:21:59Z Full text http://www.rbnz.govt.nz/research/discusspapers/dp11_07.pdf Sarah Drought Chris McDonald Sarah Drought and Chris McDonald 2011 Reserve Bank of New Zealand Discussion Papers http://www.rbnz.govt.nz/research/discusspapers/dp11_05.pdf Reserve Bank of New Zealand Discussion Papers by Emmanuel De Veirman and Ashley Dunstan Time-varying returns, intertemporal substitution and cyclical variation in consumption 2011-09-09T06:23:00Z This paper studies the importance of intertemporal substitution in consumption for the cyclical co-movement of consumption, net worth and income in New Zealand. We can largely explain the empirical hump-shaped consumption response to a transitory wealth increase by allowing for time-varying returns in an otherwise standard Permanent Income Hypothesis (PIH) model. At the net worth peak, households bring consumption forward in anticipation of low returns on saving. The PIH model fully explains the empirical response when households initially expect the net worth shock to be permanent, but gradually learn that it is in fact transitory. Time-varying returns, intertemporal substitution and cyclical variation in consumption 2011-09-09T06:23:00Z Full text http://www.rbnz.govt.nz/research/discusspapers/dp11_05.pdf Emmanuel De Veirman Ashley Dunstan Emmanuel De Veirman and Ashley Dunstan 2011 Reserve Bank of New Zealand Discussion Papers http://www.rbnz.govt.nz/research/discusspapers/dp11_04.pdf Reserve Bank of New Zealand Discussion Papers by Julien Albertini An estimated small open economy model with frictional unemployment 2011-09-09T06:23:00Z This paper investigates labour market dynamics in New Zealand by estimating a structural small open economy model enriched with standard search and matching frictions in the labour market. We show that the model fits the business cycle features of key macroeconomic variables reasonably well and provides an appealing monetary transmission mechanism. We then extend our analysis to understand the driving forces behind labour market variables. Our findings suggest that the bulk of variation in labour market variables is solely explained by disturbances pertaining to the labour market. An estimated small open economy model with frictional unemployment 2011-09-09T06:23:00Z Full text http://www.rbnz.govt.nz/research/discusspapers/dp11_04.pdf Julien Albertini Julien Albertini 2011 Reserve Bank of New Zealand Discussion Papers http://www.rbnz.govt.nz/research/discusspapers/dp11_03.pdf Reserve Bank of New Zealand Discussion Papers by Chris McDonald and Leif Anders Thorsrud Evaluating density forecasts: model combination strategies versus the RBNZ 2011-09-09T06:23:00Z Forecasting the future path of the economy is essential for good monetary policy decisions. The recent financial crisis has highlighted the importance of tail events, and that assessing the central projection is not enough. The whole range of outcomes should be forecasted, evaluated and accounted for when making monetary policy decisions. As such, we construct density forecasts using the historical performance of the Reserve Bank of New Zealand's (RBNZ) published point forecasts. We compare these implied RBNZ densities to similarly constructed densities from a suite of empirical models. In particular, we compare the implied RBNZ densities to combinations of density forecasts from the models. Our results reveal that the combined densities are comparable in performance and sometimes better than the implied RBNZ densities across many different horizons and variables. We also find that the combination strategies typically perform better than relying on the best model in real-time, that is the selection strategy. Evaluating density forecasts: model combination strategies versus the RBNZ 2011-09-09T06:23:00Z Full text http://www.rbnz.govt.nz/research/discusspapers/dp11_03.pdf Chris McDonald Leif Anders Thorsrud Chris McDonald and Leif Anders Thorsrud 2011 Reserve Bank of New Zealand Discussion Papers http://www.rbnz.govt.nz/research/discusspapers/dp11_02.pdf Reserve Bank of New Zealand Discussion Papers by Phil Briggs, Carly Harker Fluctuations in the international prices of oil, dairy products, beef and lamb between 2000 and 2008: A review of market-specific demand and supply factors 2011-05-27T17:38:59Z This paper looks at the boom period between 2000 and 2008 in the international prices of four internationally-traded commodities: oil, dairy products, beef and lamb. All are important drivers of macroeconomic dynamics in New Zealand. Our aim is to provide overviews of the demand and supply factors specific to each market and product, thus adding colour to more general analyses of the macroeconomic and financial drivers of the cycles in world commodity markets over the period. For each commodity market we examine here, we set out the structures of the markets and the major drivers of world demand and supply, and discuss the apparent relative strength of each of the drivers. Fluctuations in the international prices of oil, dairy products, beef and lamb between 2000 and 2008: A review of market-specific demand and supply factors 2011-05-27T17:38:59Z Full text http://www.rbnz.govt.nz/research/discusspapers/dp11_02.pdf Phil Briggs Carly Harker Phil Briggs, Carly Harker 2011 Reserve Bank of New Zealand Discussion Papers http://www.rbnz.govt.nz/research/discusspapers/dp11_01.pdf Reserve Bank of New Zealand Discussion Papers by Richard Fabling, Arthur Grimes Any port in a storm? The impact of new port infrastructure on New Zealand exporter behaviour 2011-05-27T17:38:59Z This paper investigates the impact of port infrastructure on exporter behaviour, focusing on the opening of Metroport, a new inland port in Auckland. We model adoption of the new port facilities among local firms, and then relate uptake to future export growth performance. We find that the main determinants of uptake are product- and firm-related, rather than location-specific. Firms use the new port infrastructure in conjunction with the existing port in order to mitigate capacity constraints and/or access a greater range of transport options. We take early adoption of Metroport as a signal of an existing capacity constraint and analyse the effect of the new port on subsequent export growth, finding a positive but insignificant impact on export volumes. Any port in a storm? The impact of new port infrastructure on New Zealand exporter behaviour 2011-05-27T17:38:59Z Full text http://www.rbnz.govt.nz/research/discusspapers/dp11_01.pdf Richard Fabling Arthur Grimes Richard Fabling, Arthur Grimes 2011 Reserve Bank of New Zealand Discussion Papers http://www.rbnz.govt.nz/research/discusspapers/dp10_14.pdf Reserve Bank of New Zealand Discussion Papers by Nicolas Groshenny (PDF 590KB) Monetary Policy, Inflation and Unemployment 2010-12-29T06:21:59Z To what extent did deviations from the Taylor rule between 2002 and 2006 help to promote price stability and maximum sustainable employment? To address that question, this paper estimates a New Keynesian model with unemployment and performs a counterfactual experiment where monetary policy strictly follows a Taylor rule over the period 2002:Q1 - 2006:Q4. The paper finds that such a policy would have generated a sizeable increase in unemployment and resulted in an undesirably low rate of inflation. Around mid-2004, when the counterfactual deviates the most from the actual series, the model indicates that the probability of an unemployment rate greater than 8 percent would have been as high as 80 percent, while the probability of an inflation rate above 1 percent would have been close to zero. Monetary Policy, Inflation and Unemployment 2010-12-29T06:21:59Z Full text http://www.rbnz.govt.nz/research/discusspapers/dp10_14.pdf Nicolas Groshenny Nicolas Groshenny (PDF 590KB) 2010 Reserve Bank of New Zealand Discussion Papers http://www.rbnz.govt.nz/research/discusspapers/dp10_13.pdf Reserve Bank of New Zealand Discussion Papers by Michael Kirker (PDF 482KB) What drives core inflation? A dynamic factor model analysis of tradable and nontradable prices 2010-12-22T06:21:59Z I develop a new estimate of core inflation for New Zealand and Australia based on a dynamic factor model. By using an over-identification restriction, the factors of the model are classifed as tradable and nontradable factors. This innovation allows us to examine the relative contributions of tradable and nontradable prices towards core inflation. The results show that core inflation in both countries is primarily driven by the nontradable factor. The nontradable factor also explains significantly more of the variance in head- line inflation relative to the tradable factor. Finally, both the tradable and nontradable factors show similar profiles across both countries suggesting common drivers. What drives core inflation? A dynamic factor model analysis of tradable and nontradable prices 2010-12-22T06:21:59Z Full text http://www.rbnz.govt.nz/research/discusspapers/dp10_13.pdf Michael Kirker Michael Kirker (PDF 482KB) 2010 Reserve Bank of New Zealand Discussion Papers http://www.rbnz.govt.nz/research/discusspapers/dp10_12.pdf Reserve Bank of New Zealand Discussion Papers by Alfred Guender and Bevan Cook Monetary policy implementation and uncovered interest parity: empirical evidence from Oceania 2010-12-14T06:21:59Z The close integration of Australian and New Zealand financial markets and the similarity of the monetary policy regimes provide the perfect backdrop for testing the empirical relevance of uncovered interest rate parity (UIP) in Oceania. We find that changes in the bilateral exchange rate have become more sensitive to the short-term interest differential over time. Most important, after the introduction of the Official Cash Rate regime in New Zealand, the responsiveness of the exchange rate has accelerated to such an extent that it is incompatible with UIP. Evidence on UIP over longer horizons is mixed with a 10-year horizon providing the strongest support for the theory since 1990. Monetary policy implementation and uncovered interest parity: empirical evidence from Oceania 2010-12-14T06:21:59Z Full text http://www.rbnz.govt.nz/research/discusspapers/dp10_12.pdf Bevan Cook Alfred V. Guender Alfred Guender and Bevan Cook 2010 Reserve Bank of New Zealand Discussion Papers http://www.rbnz.govt.nz/research/discusspapers/dp10_11.pdf Reserve Bank of New Zealand Discussion Papers by Leo Krippner (PDF 476KB) A theoretical foundation for the Nelson and Siegel class of yield curve models, and an empirical application to U.S. yield curve dynamics 2010-12-14T06:21:59Z This article establishes that most yield curve models within the popular Nelson and Siegel (1987, hereafter NS) class may be obtained as a formal Taylor approximation to the dynamic component of the generic Gaussian a¢ ne term structure model outlined in Dai and Singleton (2002). That fundamental theoretical foundation provides an assurance to users of NS models that they correspond to a well-accepted set of principles and assumptions for modeling the yield curve and its dynamics. Indeed, arbitrage-free NS models will parsimoniously and reliably represent the data generated by any Gaussian a¢ ne term structure model regardless of its true number of underlying factors and specification, and even non-arbitrage-free NS models will adequately capture the dynamics of the state variables. Combined with the well-established practical benefits of applying NS models, the theoretical foundation provides a compelling case for applying NS models as standard tools for yield curve modeling and analysis in economics and finance. As an illustration, this article develops a two-factor arbitrage-free NS model and applies it to testing for changes in United States yield curve dynamics. The results confirm those of Rudebusch and Wu (2007) based on a latent two-factor essentially affine term structure model: there was a material change in the behavior of the yield curve between the sample prior to 1988 and the sample from 1988 onwards. A theoretical foundation for the Nelson and Siegel class of yield curve models, and an empirical application to U.S. yield curve dynamics 2010-12-14T06:21:59Z Full text http://www.rbnz.govt.nz/research/discusspapers/dp10_11.pdf Leo Krippner Leo Krippner (PDF 476KB) 2010 Reserve Bank of New Zealand Discussion Papers http://www.rbnz.govt.nz/research/discusspapers/dp10_10.pdf Reserve Bank of New Zealand Discussion Papers by Andrew Coleman and Özer Karagedikli (PDF 230KB) Does the Kiwi fly when the Kangaroo jumps? The effect of Australian macroeconomic news on the New Zealand dollar 2010-11-02T06:21:59Z We conduct an event study that examines how the New Zealand - US (NZ/US) and the Australia - US (AU/US) exchange rates responds to the release of Australian macroeconomic news including the CPI, GDP, trade balance, and monetary policy decisions. We use two different measures of the unanticipated component of the news announcements. First, we use the difference between the actual value of the data and a survey of market participants' expectations of that data announcement. Second, we use the immediate response of the AU/US exchange rate to the news announcement. Does the Kiwi fly when the Kangaroo jumps? The effect of Australian macroeconomic news on the New Zealand dollar 2010-11-02T06:21:59Z Full text http://www.rbnz.govt.nz/research/discusspapers/dp10_10.pdf Özer Karagedikli Andrew Coleman Andrew Coleman and Özer Karagedikli (PDF 230KB) 2010 Reserve Bank of New Zealand Discussion Papers http://www.rbnz.govt.nz/research/discusspapers/dp10_09.pdf Reserve Bank of New Zealand Discussion Papers by Emmanuel De Veirman and Ashley Dunstan (PDF 337KB) Debt Dynamics and Excess Sensitivity of Consumption to Transitory Wealth Changes 2010-10-29T06:21:59Z We analyse the consumption-wealth relationship using a framework that accounts for transitory variation in wealth, and in a setting where transitory variation in household net worth is not dominated by boom and bust cycles in stock markets. We find that transitory variation in consumption depends positively on recent transitory changes in wealth. In addition, we find that gross asset wealth and household debt are positively related. Both findings constitute departures from standard lifecycle/ permanent income hypothesis theory with complete financial markets, but can be explained by the introduction of liquidity constraints. Debt Dynamics and Excess Sensitivity of Consumption to Transitory Wealth Changes 2010-10-29T06:21:59Z Full text http://www.rbnz.govt.nz/research/discusspapers/dp10_09.pdf Ashley Dunstan Emmanuel De Veirman Emmanuel De Veirman and Ashley Dunstan (PDF 337KB) 2010 Reserve Bank of New Zealand Discussion Papers http://www.rbnz.govt.nz/research/discusspapers/dp10_08.pdf Reserve Bank of New Zealand Discussion Papers by David Baqaee (PDF 198KB) Intertemporal Choice: A Nash Bargaining Approach 2010-10-01T06:23:00Z A compelling, but highly tractable, axiomatic foundation for intertemporal decision making is established and discussed. This axiomatic foundation relies on methods employed in cooperative bargaining theory. Four simple axioms imply that the intertemporal objective function is a weighted geometric average of each period's utility function. This is in contrast to standard practice, which takes the objective function to be a weighted arithmetic average. The analysis covers both finite and infinite time. Intertemporal Choice: A Nash Bargaining Approach 2010-10-01T06:23:00Z Full text http://www.rbnz.govt.nz/research/discusspapers/dp10_08.pdf David Baqaee David Baqaee (PDF 198KB) 2010 Reserve Bank of New Zealand Discussion Papers C7 D01 D91 http://www.rbnz.govt.nz/research/discusspapers/dp10_05.pdf Reserve Bank of New Zealand Discussion Papers by Günes Kamber and Stephen Millard (PDF 380KB) Using estimated models to assess nominal and real rigidities in the United Kingdom 2010-10-01T06:23:00Z This paper aims to contribute to our understanding of inflation dynamics in the United Kingdom by estimating two dynamic stochastic general equilibrium models and assessing the role of nominal and real rigidities within them. We first obtain an empirical representation of the monetary transmission mechanism in the United Kingdom and then estimate the models by minimising the difference between this representation and its model equivalents. We find that both models can explain the data reasonably well without relying on undue amounts of price and wage stickiness. Using estimated models to assess nominal and real rigidities in the United Kingdom 2010-10-01T06:23:00Z Full text http://www.rbnz.govt.nz/research/discusspapers/dp10_05.pdf Stephen Millard Günes Kamber Günes Kamber and Stephen Millard (PDF 380KB) 2010 Reserve Bank of New Zealand Discussion Papers E31 F52 http://www.rbnz.govt.nz/research/discusspapers/dp10_07.pdf Reserve Bank of New Zealand Discussion Papers by Richard Fabling and Lynda Sanderson (PDF 305KB) Exporting and performance: Market entry, expansion and destination characteristics 2010-10-01T06:23:00Z We examine the effect of export market entry on New Zealand firm performance. Our novel contribution to the literature is the treatment of export status as an incremental process, in which firms may export to one or more markets with each of these markets providing additional potential for learning to occur. Focussing on new markets provides several benefits. Since we use matching techniques to account for self-selection, controlling for firm export histories reduces the problem of selection on unobservables (such as managerial preferences) which would confound a causal interpretation. Also, most new market entry is undertaken by incumbent exporters, providing a large number of events on which to test the learning-by-exporting (LBE) hypothesis. Exporting and performance: Market entry, expansion and destination characteristics 2010-10-01T06:23:00Z Full text http://www.rbnz.govt.nz/research/discusspapers/dp10_07.pdf Richard Fabling Lynda Sanderson Richard Fabling and Lynda Sanderson (PDF 305KB) 2010 Reserve Bank of New Zealand Discussion Papers D21 D24 F10 http://www.rbnz.govt.nz/research/discusspapers/dp10_06.pdf Reserve Bank of New Zealand Discussion Papers by David Baqaee and Richard Watt (PDF 213KB) Sharing a risky cake 2010-10-01T06:23:00Z Consider an n-person bargaining problem where players bargain over the division of a cake whose size is stochastic. In such a game, the players are not only bargaining over the division of a cake, but they are also sharing risk. This paper presents the Nash bargaining solution to this problem, investigates its properties, and highlights a few special cases. Sharing a risky cake 2010-10-01T06:23:00Z Full text http://www.rbnz.govt.nz/research/discusspapers/dp10_06.pdf Richard Watt David Baqaee David Baqaee and Richard Watt (PDF 213KB) 2010 Reserve Bank of New Zealand Discussion Papers C02 C71 C78 http://www.rbnz.govt.nz/research/discusspapers/dp10_04.pdf Reserve Bank of New Zealand Discussion Papers by Aurélien Eyquem and Günes Kamber (PDF 256KB) Internationalised Production in a Small Open Economy 2010-08-09T06:27:00Z We show that internationalised production, modelled as trade in intermediate goods, brings the dynamics of a small open economy closer to that observed in the data. We build a stylized new-Keynesian small open economy model and we show that when production is internationalised, movements of international relative prices affect the economy through an additional channel, denoted as the “cost channel”. Both qualitatively and quantitatively, this channel (i) increases the share of output variance explained by foreign shocks, consistent with empirical evidence, (ii) implies that the exchange rate pass-through is closer to estimated values, and (iii) increases the international correlation of output relative to that of consumption. Internationalised Production in a Small Open Economy 2010-08-09T06:27:00Z Full text http://www.rbnz.govt.nz/research/discusspapers/dp10_04.pdf Aurélien Eyquem Günes Kamber Aurélien Eyquem and Günes Kamber (PDF 256KB) 2010 Reserve Bank of New Zealand Discussion Papers E30 F41 http://www.rbnz.govt.nz/research/discusspapers/dp10_03.pdf Reserve Bank of New Zealand Discussion Papers by Jaromír Beneš and Kirdan Lees (PDF 396KB) Multi-period fixed-rate loans, housing and monetary policy in small open economies 2010-04-27T17:42:59Z We investigate the implications of the existence of multi-period fixed-rate loans for the behaviour of a small open economy exposed to finance shocks and housing boom-and-bust cycles. To this end, we propose a simple and analytically tractable method of incorporating multi-period debt into an otherwise standard consumer problem. Our simulations show that multi-period fixed-rate contracts can help insulate the economy from the adverse effects of particular shocks. This insulating mechanism is particularly effective for countries with high debt positions exposed to foreign exchange fluctuations, or countries operating a fixed exchange rate regime. Multi-period fixed-rate loans, housing and monetary policy in small open economies 2010-04-27T17:42:59Z Full text http://www.rbnz.govt.nz/research/discusspapers/dp10_03.pdf Jaromír Beneš Kirdan Lees Jaromír Beneš and Kirdan Lees (PDF 396KB) 2010 Reserve Bank of New Zealand Discussion Papers E44 E5 E52 http://www.rbnz.govt.nz/research/discusspapers/dp10_02.pdf Reserve Bank of New Zealand Discussion Papers by Özer Karagedikli All together now: Do international factors explain relative price co-movements? 2010-04-12T17:42:00Z Recent research has found evidence of increasing co-movement in CPI inflation rates across industrialised countries. This paper considers whether this increased international co-movement in inflation rates can be attributed to greater global integration of product markets. To examine this question, we use a data set of 28 matched product category price indices for 14 advanced economies for 1998Q1 - 2008Q2, and decompose the inflation rates into a world factor, country-specific factors, and category-specific factors using a Bayesian dynamic factor model with Gibbs sampling. We find that the category-specific factors account for a large part of the co-movement in the prices of goods which are intensive in internationally traded primary commodities; but this is less evident for other traded goods. We also find that both the world factor and the category-specific factors become more significant in explaining the movement in the relative prices in the second half of our sample. All together now: Do international factors explain relative price co-movements? 2010-04-12T17:42:00Z Full text http://www.rbnz.govt.nz/research/discusspapers/dp10_02.pdf Özer Karagedikli Özer Karagedikli 2010-02 Reserve Bank of New Zealand Discussion Papers E30 E52 http://www.rbnz.govt.nz/research/discusspapers/dp10_01.pdf Reserve Bank of New Zealand Discussion Papers by Mark Smith Evaluating household expenditures and their relationship with house prices at the microeconomic level 2010-02-11T17:38:59Z Over much of the past 40 years, cycles of house price and consumption growth have been closely synchronised in New Zealand. Three main hypotheses for this co-movement have been proposed in the literature. Firstly, an increase in house prices increase homeowners wealth, which increases their desired level of expenditure. Secondly, rising house prices may also facilitate additional consumption by reducing credit constraints to homeowners. Finally, house prices and consumption have been influenced by common factors, including expectations of future income growth. This paper uses repeated cross sectional analysis of household level data over the 1984 to 2007 period to ascertain which of these hypotheses is more valid for the New Zealand case. A positive correlation between real house prices and real household expenditures is evident for most tenure and age groupings. However, findings from this paper suggest that the house price and consumption relation is predominantly driven by wealth effects. Evaluating household expenditures and their relationship with house prices at the microeconomic level 2010-02-11T17:38:59Z Full text http://www.rbnz.govt.nz/research/discusspapers/dp10_01.pdf Mark Smith Mark Smith 2010-01 Reserve Bank of New Zealand Discussion Papers http://www.rbnz.govt.nz/research/discusspapers/dp09_20.pdf Reserve Bank of New Zealand Discussion Papers by Emmanuel De Veirman and Andrew Levin Measuring Changes in Firm-Level Volatility – An Application to Japan 2009-12-23T12:41:59Z This paper develops a new technique for estimating earnings and employment volatility at the firm level, and applies it to Japanese firms. Unlike earlier studies for the United States, we estimate instantaneous volatility for every year, rather than a rolling ten-year average of volatility. In addition, our technique allows us to estimate the firm-specific component of firm volatility separately, by controlling for variation in firms’ earnings and employment growth induced by aggregate and sectoral factors. We find that firm-specific sales volatility was substantially higher before the 1990 stock market crash than in the following fifteen years. The conditional variance of earnings and employment growth stayed relatively constant until the late 1990s, but increased substantially from 1999 onwards. Measuring Changes in Firm-Level Volatility – An Application to Japan 2009-12-23T12:41:59Z Full text http://www.rbnz.govt.nz/research/discusspapers/dp09_20.pdf Emmanuel De Veirman Andrew T. Levin Emmanuel De Veirman and Andrew Levin 2009-12 Reserve Bank of New Zealand Discussion Papers C33 D21 E23 E24 http://www.rbnz.govt.nz/research/discusspapers/dp09_19.pdf Reserve Bank of New Zealand Discussion Papers by Richard Fabling, Arthur Grimes, and Lynda Sanderson Whatever next? Export market choices of New Zealand firms 2009-12-21T18:23:59Z We examine product and market entry choices of New Zealand exporters, using an enterprise level dataset which links firm performance measures with detailed data on merchandise trade. We focus our enquiry not on the broad question of what determines a firm's ability to export, but on the subsequent question: given that a firm has the ability to export, what determines the choices they make about what and where to export? We simultaneously consider firm and market level determinants of export market entry. At the firm level we find that measures of general and specific prior trade experience play an important role in determining the firm's future export activities. That is, we find evidence of path dependence within firms. We also find evidence of path dependence across firms, with entry into new export relationships reflecting demonstration effects from the export activities of other firms in the local area. These results are robust to the inclusion of other determinants of exporting, including the macroeconomic performance of destination countries, exchange rate movements, and the past performance of the exporting firm. Whatever next? Export market choices of New Zealand firms 2009-12-21T18:23:59Z Full text http://www.rbnz.govt.nz/research/discusspapers/dp09_19.pdf Richard Fabling Lynda Sanderson Arthur Grimes Richard Fabling, Arthur Grimes, and Lynda Sanderson 2009-12 Reserve Bank of New Zealand Discussion Papers D21 F10 L25 http://www.rbnz.govt.nz/research/discusspapers/dp09_16.pdf Reserve Bank of New Zealand Discussion Papers by Martin Fukac and Adrian Pagan Structural Macro-Econometric Modelling in a Policy Environment 2009-12-21T18:23:59Z In this paper we review the evolution of macroeconomic modelling in a policy environment that took place over the past sixty years. We identify and characterise four generations of macro models. Particular attention is paid to the fourth generation – dynamic stochastic general equilibrium models. We discuss some of the problems in how these models are implemented and quantified. Structural Macro-Econometric Modelling in a Policy Environment 2009-12-21T18:23:59Z Full text http://www.rbnz.govt.nz/research/discusspapers/dp09_16.pdf Adrian Pagan Martin Fukac Martin Fukac and Adrian Pagan 2009-12 Reserve Bank of New Zealand Discussion Papers B16 C50