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THE NEW ZEALAND BUSINESS CYCLE

Published online by Cambridge University Press:  01 August 2009

Viv B. Hall  and
C. John McDermott
Viv B. Hall*
Affiliation:
Victoria University of Wellington
C. John McDermott*
Affiliation:
Victoria University of Wellington
*
*Address correspondence to Viv B. Hall, School of Economics and Finance, Victoria University of Wellington, P O Box 600 Wellington, New Zealand; email: viv.hall@vuw.ac.nz.
*Address correspondence to Viv B. Hall, School of Economics and Finance, Victoria University of Wellington, P O Box 600 Wellington, New Zealand; email: viv.hall@vuw.ac.nz.
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Abstract

Our paper is in the spirit of Rex Bergstrom's interests and research in cyclical growth models and his meticulous attention to underlying data series. We develop a new quarterly real GDP series for post–World War II New Zealand, derive a new “benchmark” set of classical business cycle turning points, and establish nonparametric classical cycle characteristics. Markov-switching models, estimated by Gibbs-sampling methods, are used to derive mean growth rate and volatility regimes and to add to existing knowledge. The resulting properties, involving cycle asymmetries, volatility, diversity and duration dependence, and differing mean growth rate and volatility regimes, can be used to underpin a next generation of cyclical growth models for New Zealand, in the Bergstrom tradition.

Type
ARTICLES
Information
Econometric Theory , Volume 25 , Issue 4: Bergstrom Memorial Dedication Issue , August 2009 , pp. 1050 - 1069
Copyright
Copyright © Cambridge University Press 2009

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