Appendix
| Series | Mean | Std. Deviation | Skewness | Source |
|---|---|---|---|---|
| US GDP (SAAR, Bil.Chn.2005$) | 0.71 | 0.66 | -1.02 | Haver Analytics |
| China GDP, (SA, 1997 price rmb mn) |
2.43 | 1.04 | -0.27 | Haver Analytics & National University of Singapore* |
| Australia GDP (SA, Mil.Chn.Q3:09-Q2:10.A$) | 0.83 | 0.72 | 0.08 | Haver Analytics |
| New Zealand GDP (SA, Mil.Chn.Q3/1995-Q2/1996.NZ$) | 0.60 | 1.15 | -0.61 | Haver Analytics (1987Q2-2011Q4). Prior to 1987Q2 the series is backdated as was used in Dungey and Fry (2009). |
|
New Zealand Consumer Price Index (SA, Q2-06=1000) |
0.99 | 1.10 | 2.09 | Haver Analytics |
|
New Zealand 90-Day Bank Bill Yield (Average, %)** |
9.37 | 5.36 | 1.20 | Haver Analytics |
| New Zealand Real Exchange Rate | 0.10 | 4.20 | -1.07 | Haver Analytics |
| ANZ World Commodity Price Index, 1986=100 | 0.52 | 4.51 | -0.17 | Haver Analytics*** |
| ANZ Dairy Products Index, 1986=100 | 0.50 | 8.69 | 0.30 | Haver Analytics*** |
| ANZ Forestry Products Index, 1986=100 | -0.12 | 5.73 | 0.22 | Haver Analytics*** |
| ANZ Meat, Skins and Wool Index, 1986=100 | 0.50 | 4.30 | -0.22 | Haver Analytics*** |
| ANZ Aluminium Prices Index, 1986=100 | 0.08 | 9.70 | -0.67 | Haver Analytics*** |
Notes: Unless indicated otherwise, the sample period is 1982Q4 to 2011Q4. Data are expressed as growth rates by multiplying the difference of the log series by 100 with the exception of 90-day rates that are in levels.
* Link: http://www.fas.nus.edu.sg/ecs/esu/data.html
** Percentage points
*** The sample period is 1986Q1 to 2011Q4. the available values are seasonally adjusted using X-11 and deflated by US CPI
- Appendix Figure 1 – Schematic description of the extended model
Notes: The arrows indicate the direction of feedback across the three countries. New Zealand's macroeconomic variables comprise real GDP, inflation, interest rate and the real exchange rate.
