Journal
OXFORD BULLETIN OF ECONOMICS AND STATISTICS
Volume 74, Issue 3, Pages 470-492Publisher
WILEY
DOI: 10.1111/j.1468-0084.2011.00643.x
Keywords
C51; E52; F41
Ask authors/readers for more resources
Traditional vector autoregressions derive impulse responses using iterative techniques that may compound specification errors. Local projection techniques are more robust to this problem, and Monte Carlo evidence has suggested they provide reliable estimates of the true impulse responses. We use local linear projections to investigate the dynamic properties of a model for a small open economy, New Zealand. We compare impulse responses from projections to those from standard techniques, and consider the implications for monetary policy. We pay careful attention to the dimensionality of the model, and focus on effects of policy on gross domestic product, interest rates, prices and exchange rates.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available