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Appendix

Impulse responses

Reduced-form model, SVAR, SRVAR and SVAR using simulated data

Figure 8 – Output impulse responses
Figure 8 - Output impulse responses.
Figure 9 – Inflation impulse responses
Figure 9 - Inflation impulse responses.
Figure 10 - Interest rate impulse responses
Figure 10 - Interest rate impulse responses.
Figure 11 – Exchange rate impulse responses
Figure 11 - Exchange rate impulse responses.
Table 3 - Data description
Variable Description Source
γ Output gap as a percentage of GDP Szeto (2013)
i Official cash rate deviation from sample average RBNZ, own calculations
q Real trade-weighted exchange rate deviation from sample average Bilateral exchange rates (Reuters), trade-weights (SNZ), (below), own calculations.
π Quarterly annualised seasonally-adjusted CPI inflation deviation from target (assumed to be 2 per cent). Non seasonally-adjusted CPI (SNZ), own calculations (seasonally.
cs Credit spread deviation from sample average. Deposit, borrowing and weights in lending for household and corporations (RBNZ), reference rates i.e. government bond rates and OIS (Reuters), own calculations.
Trade-weighted foreign policy rates, deviation from sample average. Policy rates (Reuters), trade weights (SNZ). 0 weight applied to China for earlier part of sample. Own calculations.
Foreign, trade-weighted quarterly annualised, seasonally-adjusted CPI inflation, deviation from sample average. Non-seasonally-adjusted CPI inflation (Reuters), trade weights (SNZ), own calculations.
ƒ Change in the cyclically-adjusted budget balance (AKA fiscal impulse) Annual data (New Zealand Treasury), own calculations.
Table 4 - Sign restrictions in SRVAR*
Shock to: Interest rate Output Inflation Exchange rate
Interest rate Positive - Negative Positive
Output - Positive Positive -
Inflation Positive - Positive Positive
Exchange rate - Negative Negative Positive

*Shocks are in rows, responses in columns

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