NZESG - New Zealand Economic Study Group

10th New Zealand Econometric Study Group Meeting - Programme

Friday 16 August 2002

  • 1.45pm Welcome
  • Session 1: Modelling the New Zealand Economy (2 - 4 pm)
    Chair: Les Oxley (University of Canterbury)


    A dynamic computable general equilibrium (CGE) model of the New Zealand economy

    Kam Leong Szeto(Treasury)

    Discussant: Nathan McLellan (Treasury)


    Towards an understanding of the New Zealand business cycle: Analysis using an SVAR model of the New Zealand economy

    Robert A. Buckle (Treasury), Kunhong Kim (Victoria University of Wellington), Heather Kirkham, Nathan McLellan and Jared Sharma (Treasury)

    Discussant: Alfred Haug (York University)


    A causal diagram for an interest rate transmission mechanism in New Zealand

    Les Oxley and Marco Reale (University of Canterbury)

    Discussant: Chris Plantier (Reserve Bank of New Zealand)


    Explaining exports in New Zealand: A general-to-specific approach

    Lauren S. Rosborough (Reserve Bank of New Zealand)

    Discussant: Özer Karagedikli (Reserve Bank of New Zealand)

  • 4 – 4.30 pm Afternoon tea
  • Session 2: Applications (4.30 - 6 pm)
    Chair: Alfred Haug (York University)


    Competitive balance in a divisional sports league

    Stephen Dobson (University of Otago) and John Goddard (University of Wales, Swansea)

    Discussant: Stephen Knowles (University of Otago)


    Asymptotic power advantages of long-horizon regression tests

    Nelson C. Mark (Ohio State University) and Donggyu Sul (University of Auckland)

    Discussant: Chirok Han (Victoria University of Wellington)


    A comparative study on forecasting New Zealand stock prices using Bayesian dynamic linear model and neural networks

    Issarest Weeraprajak, Easaw Chacko and Marco Reale (University of Canterbury)

    Discussant: Donggyu Sul (University of Auckland)


Saturday 17 August 2002

  • Session 3: Econometric Theory (9 - 10.30 am)
    Chair: Jun Yu (University of Auckland)


    Exact local Whittle estimation of fractional integration

    Katsumi Shimotsu (University of Essex) and Peter C.B. Phillips (Yale University, University of Auckland and University of York)

    Discussant: Peter Thomson (Statistics Research Associates Ltd)


    GMM estimation with many moment conditions

    Chirok Han (Victoria University of Wellington)

    Discussant: Peter Phillips (Yale University, University of Auckland and University of York)


    Fitting jump diffusion processes using the EM algorithm

    Jodie Duncan (CSIRO) and Peter Thomson (Statistics Research Associates Ltd)

    Discussant: Marco Reale (University of Canterbury)

  • 10.30-11 am Morning tea
  • Session 4: Financial Econometrics (11 am – 1 pm)
    Chair: Peter C.B. Phillips (Yale University, University of Auckland and University of York)


    The asset allocation decision in a loss aversion world

    Soosung Hwang (City University Business School) and Stephen E. Satchell (University of Cambridge)

    Discussant: Jun Yu (University of Auckland)


    Non-parametric volatility estimation

    Martin Lally, John Randal (Victoria University of Wellington) and Peter Thomson (Statistics Research Associates Ltd)

    Discussant: Florin Citu (Reserve Bank of New Zealand)


    A class of nonlinear stochastic volatility models

    Jun Yu (University of Auckland) and Zhenlin Yang (National University of Singapore)

    Discussant: Steve Satchell (University of Cambridge)


    Maximum likelihood estimation of STAR and STAR-GARCH models: Theory and Monte Carlo evidence

    Felix Chan and Michael McAleer (University of Western Australia)

    Discussant: John Randal (Victoria University of Wellington)

  • 1 –2 pm Lunch
  • Session 5: Modelling Exchange Rates and Currency Unions (2 - 3.30 pm)
    Chair: Donggyu Sul (University of Auckland)


    An ANZAC currency union: is the NZ dollar already fixed to the AU dollar?

    Florin Citu, Chris Plantier, and Dean Scrimgeour (Reserve Bank of New Zealand)

    Discussant: Les Oxley (University of Canterbury)


    Asymmetric Adjustment in Australasian PPP

    Florin Citu (Reserve Bank of New Zealand)

    Discussant: Felix Chan (University of Western Australia)


    Monetary policy transmission mechanisms and currency unions: a vector error correction method approach to a trans-Tasman currency union

    Alfred A. Haug (York University), Özer Karagedikli and Satish Ranchhod (Reserve Bank of New Zealand)

    Discussant: Dorian Owen (University of Otago)

  • 3.30 – 4 pm Afternoon tea
  • Session 6: Productivity (4 - 5 pm)
    Chair: Dorian Owen (University of Otago)


    GPT-driven, sustained growth with uncorrelated changes in TFP

    Kenneth I. Carlaw (University of Canterbury) and Richard G. Lipsey (Simon Fraser University)

    Discussant: Kevin Fox (University of New South Wales)


    Problems with (dis)aggregating productivity, and another productivity paradox

    Kevin J. Fox University of New South Wales)

    Discussant: Ken Carlaw (University of Canterbury)

  • 5 pm Close of meeting