scholarly journals An Investigation into Rule of Thumb Behaviour in New Zealand

2021 ◽  
Author(s):  
◽  
Adam Malanchak
Keyword(s):  
New Zealand ◽  
Open Economy ◽  
Full Range ◽  
Small Open Economy ◽  
Estimation Procedure ◽  
New Keynesian ◽  
Specification Tests ◽  
Habit Persistence ◽  
Rule Of Thumb ◽  
Mcmc Estimation

<p>In recent times, macroeconomic models have begun to describe aggregate consumer and firm behaviour by allowing some proportion to behave in a rule of thumb manner. This dissertation attempts to address two main issues that are concurrent in the literature. First I test for the proportion of aggregate behaviour that deviates from Classical consumer allocation theory and New Keynesian firm pricing theory in New Zealand. Rule of thumb consumers are assumed to consume out of current income as opposed to obeying the Permanent Income Hypothesis, while rule of thumb firms set prices in a backward looking manner. Using the GMM estimation procedure, I examine the sensitivity of estimates across a range of instrumental variables. After positive GMM specification tests I find the proportion of rule of thumb consumers is 0.21 and the proportion of backward looking price setters is 0.82. These results suggest that specifications which fail to allow for rule of thumb behaviour cannot fully reflect consumer and firm decisions. The second main issue seeks to address how these estimates compare to those estimated in a small open economy DSGE model. Monte Carlo Markov Chain (MCMC) estimation finds an estimated degree of external habit persistence of 0.9, proportion of rule of thumb consumers of 0.34, and the proportion of backward looking price setters falls to 0.7. A full range of MCMC diagnostics is subsequently computed. The diagnostic tests are largely favourable.</p>

scholarly journals An Investigation into Rule of Thumb Behaviour in New Zealand

2021 ◽  
Author(s):  
◽  
Adam Malanchak
Keyword(s):  
New Zealand ◽  
Open Economy ◽  
Full Range ◽  
Small Open Economy ◽  
Estimation Procedure ◽  
New Keynesian ◽  
Specification Tests ◽  
Habit Persistence ◽  
Rule Of Thumb ◽  
Mcmc Estimation

<p>In recent times, macroeconomic models have begun to describe aggregate consumer and firm behaviour by allowing some proportion to behave in a rule of thumb manner. This dissertation attempts to address two main issues that are concurrent in the literature. First I test for the proportion of aggregate behaviour that deviates from Classical consumer allocation theory and New Keynesian firm pricing theory in New Zealand. Rule of thumb consumers are assumed to consume out of current income as opposed to obeying the Permanent Income Hypothesis, while rule of thumb firms set prices in a backward looking manner. Using the GMM estimation procedure, I examine the sensitivity of estimates across a range of instrumental variables. After positive GMM specification tests I find the proportion of rule of thumb consumers is 0.21 and the proportion of backward looking price setters is 0.82. These results suggest that specifications which fail to allow for rule of thumb behaviour cannot fully reflect consumer and firm decisions. The second main issue seeks to address how these estimates compare to those estimated in a small open economy DSGE model. Monte Carlo Markov Chain (MCMC) estimation finds an estimated degree of external habit persistence of 0.9, proportion of rule of thumb consumers of 0.34, and the proportion of backward looking price setters falls to 0.7. A full range of MCMC diagnostics is subsequently computed. The diagnostic tests are largely favourable.</p>

scholarly journals Evaluating an estimated new Keynesian small open economy model

2008 ◽  
Vol 32 (8) ◽  
pp. 2690-2721 ◽  
Author(s):  
Malin Adolfson ◽  
Stefan Laséen ◽  
Jesper Lindé ◽  
Mattias Villani
Keyword(s):  
Open Economy ◽  
Small Open Economy ◽  
New Keynesian ◽  
Economy Model

scholarly journals Mutual Fund Performance and the Impact of Superannuation and Financial Regulation

2018 ◽  
Author(s):  
James M. Cooper ◽  
Russell Gregory-Allen
Keyword(s):  
New Zealand ◽  
Mutual Funds ◽  
Open Economy ◽  
Mutual Fund ◽  
Financial Regulation ◽  
Positive Impact ◽  
Small Open Economy ◽  
Fund Industry ◽  
Mutual Fund Industry ◽  
The Impact

Financial innovation such as a new superannuation scheme can allow for broader participation in retirement savings by individuals, but might also impact existing investments. On the other hand, mutual fund regulation involves a balancing act between protecting investors, and allowing fund managers to exercise their skills. Some recent changes in the fund environment of New Zealand allows an examination of the impact on performance from those changes in a small, open economy. Using a sample of New Zealand mutual funds, we compared performance before and after the introduction of two significant changes in the financial environment of New Zealand. In 2007, a state-sponsored investment scheme called KiwiSaver was introduced, providing significant incentives for more and more New Zealanders to save. Participation was substantial, and by 2015 KiwiSaver funds under management had exceeded traditional open-end funds. At the time of KiwiSaver’s introduction, mutual fund regulations was quite lax, particularly in the area of financial disclosure. However, in 2013 a new law was introduced, substantially increasing the disclosure requirements for those funds participating in the KiwiSaver scheme. First we examined, the impact on the New Zealand mutual fund industry upon the introduction of KiwiSaver, and then on the introduction of the increased KiwiSaver regulations, in order to determine if these harmed the overall New Zealand mutual fund industry. We found that the New Zealand mutual funds which focused on New Zealand or Australian equities experienced some negative performance after the introduction of KiwiSaver, but the impact on the overall industry was not significant. We also found that the increased regulations had some positive impact on performance, particularly for those funds emphasising global equities.  

scholarly journals Context in international business: Entrepreneurial internationalization from a distant small open economy

2021 ◽  
Author(s):  
Eldrede Kahiya
Keyword(s):  
New Zealand ◽  
Literature Review ◽  
International Business ◽  
Open Economy ◽  
Institutional Environment ◽  
Small Open Economy ◽  
The Other ◽  
Medium Size ◽  
Strategy Process ◽  
Context Shapes

Context matters in International Business, but to what extent does it influence the content of knowledge? This study offers a systematic literature review on the internationalization of New Zealand firms. A geographically isolated small open economy (SMOPEC) with audacious trade aspirations, a strong domestic institutional environment, favorable attitude toward trade, and entrepreneurial small-to-medium size enterprises (SMEs), New Zealand provides an enlightening context to study internationalization. Using a sample of 95 studies, the review identifies antecedents, stimuli, capabilities, strategy, process and outcomes underpinning internationalizing New Zealand firms (INZFs). Context matters but not in the manner anticipated. On one hand research on the internationalization of New Zealand firms is largely congruent with extant knowledge, on the other the New Zealand context shapes uniquely, how and what scholars choose to research.

scholarly journals The Vietnamese business cycle in an estimated small open economy New Keynesian DSGE model

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Phuong V. Nguyen
Keyword(s):  
Business Cycle ◽  
Open Economy ◽  
Small Open Economy ◽  
Research Paper ◽  
New Keynesian ◽  
Dsge Model ◽  
Content Type ◽  
Business Cycle Fluctuations ◽  
Dynamic Stochastic ◽  
The Business Cycle

PurposeThe primary purpose of this paper is to investigate the sources of the business cycle fluctuations in Vietnam. To this end, the author develops a small open economy New Keynesian dynamic stochastic general equilibrium (SOE-NK-DSGE) model. Accordingly, this model includes various features, such as habit consumption, staggered price, price indexation, incomplete exchange-rate pass-through (ERPT), the failures of the law of one price (LOOP) and the uncovered interest rate parity. It is then estimated by using the Bayesian technique and Vietnamese data 1999Q1–2017Q1. Based on the estimated model, this paper analyzes the sources of the business cycle fluctuations in this emerging economy. Indeed, this research paper is the first attempt at developing and estimating the SOE-NK-DSGE model with the Bayesian technique for Vietnam.Design/methodology/approachA SOE-NK-DSGE model—Bayesian estimation.FindingsThis paper analyzes the sources of the business cycle fluctuations in Vietnam.Originality/valueThis research paper is the first attempt at developing and estimating the SOE-NK-DSGE model with the Bayesian technique for Vietnam.

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