A quarterly post-Second World War real GDP series for New Zealand

Abstract

There are no official quarterly real GDP estimates for New Zealand, for the period prior to 1977. We report the development of a seasonally-adjusted series for a period of more than 60 years from mid-1947, and evaluate statistical properties. The series were developed by linking quarterly observations from two recent official series to temporally disaggregated observations for an earlier time period. Annual real GDP series are disaggregated, using the information from two quarterly diffusion indexes, developed by Haywood and Campbell (1976). Three static econometric models with different disturbance term assumptions and one dynamic model are evaluated. Our preferred quarterly series is based on results generated from the Chow and Lin (1971) model. We assess movements in the preferred static model and dynamic model series against qualitative findings from New Zealand's post-Second World War economic history.

New Zealand's experience with changing its inflation target and the impact on inflation expectations

“…See Hall and McDermott (2009, 2011, 2015 for evidence on the New Zealand business cycle. The average duration of the nine recessions since 1947 is 4.2 quarters with a standard deviation of 1.6.…”

An Anchor in Stormy Seas: Does Reforming Economic Institutions Reduce Uncertainty? Evidence From New Zealand

“…Given New Zealand recessions have been triggered, in part, by events overseas (Reddell & Sleeman, 2008), we also include a measure of the OECD output gap. 25 We also include a domestic (New Zealand) output gap; this was created by applying the technique outlined by Kamber et al (2018) to the real GDP series of Hall and McDermott (2011).…”

A Narrative Approach to Creating Instruments with Unstructured and Voluminous Text: An Application to Policy Uncertainty

“…The vector of the k macroeconomic and financial market variables, Y t , consists of five variables: the quarterly change in the New Zealand share price index, output gap, detrended inflation, detrended nominal 10-year interest rate, and detrended real exchange rate. The output gap is created by applying the method of Kamber, Morley, and Wong (2018) to the real GDP series of Hall and McDermott (2011); inflation and the interest and exchange rates are detrended using the Hodrick-Prescott filter (lambda: 1,600). We detrend inflation and the interest and exchange rates, as the 1980s and early 1990s were a period of large structural shocks.…”