Edda Claus

Seven Leading Indexes of New Zealand Employment

This article constructs seven leading indexes of New Zealand employment and assesses their relative usefulness in terms of forecasting quarterly employment growth. Leading indexes have been widely used since their introduction in the late 1930s. One construction method dominated until academic research interest into alternative techniques re-appeared in the late 1980s. What has been missing so far in the literature is a thorough comparison of old and new techniques in terms of forecasting performance. This article is a step in that direction. The methods covered here reflect varying degrees of technical sophistication, ranging from simple scoring of changes to relying on frequency domain methods to extract dynamic latent factors from a large dataset. The results show that no single index dominates in terms of forecasting employment growth one to four quarters ahead. This suggests that relying on a suite of models may be the optimal forecasting strategy.

Asset Markets and Monetary Policy Shocks at the Zero Lower Bound

This paper quantifies the impact of monetary policy shocks on asset markets in the United States and gauges the usefulness of a shadow short rate as a measure of conventional and unconventional monetary policy shocks. Monetary policy surprises are found to have had a larger impact on asset markets since short term interest rates reached the zero lower bound. Our results indicate that much of the increased reaction is due to changes in the transmission of shocks and only partly due to larger monetary policy surprises.

Regional Indexes of Activity: Combining the Old with the New

This paper proposes a framework to construct indexes of activity which links two strands of the index literature – the traditional business cycle analysis and the latent variable approach. To illustrate the method, we apply the framework to Australian regional data, namely to two resource-rich and two service-based states. The results reveal differences in the evolution and drivers of economic activity across the four states. We also demonstrate the value of the Index in a broader context by using a structural vector autoregression (SVAR) approach to analyse the effects of shocks from the US and from China. This Index-SVAR approach facilitates a richer analysis because the unique feature of the index method proposed here allows impulse responses to be traced back to the components.

Effects of Taxation on Migration: Some Evidence for the ASEAN and APEC Economies

This paper investigates the effects of taxation on migration. It develops a stylized, two-country model to examine the impact of taxes on labor mobility. The theoretical predictions that taxes affect migration decisions and that educated workers are more responsive to taxation are supported by some empirical evidence for the economies of the Association of Southeast Asian Nations and the Asia-Pacific Economic Cooperation. The empirical application also shows that average tax rates have a larger impact on migration choices than marginal rates. Average tax rates are most important for migrants with secondary education, while marginal rates have a greater influence on the decisions of migrants with tertiary education compared to secondary-educated migrants. The finding that taxation affects migration decisions, in particular of educated migrants, has important policy implications.

Can monetary policy surprise the market

This paper extracts measures of monetary policy surprises for Australia, Canada and the United States using a latent factor framework. We distinguish monetary policy surprises which occur when central banks report new assessments of the economy (or do not reinforce changes expected by market assessments) from those when policy makers appear to change their preferences. Changing policy preferences are evident in all jurisdictions, particularly during periods of stress. No-change policy announcements have distinctly differing impacts across the three countries; in Canada these have the same impact as policy changes, in Australia they are not discernibly different to a normal trading day and the US market lies between these scenarios. The revealed differences in size and type of the policy surprise outcomes for these operationally similar central banks suggests that the role of transparency policy is more subtle than previously appreciated.

SAVINGS AND WEALTH ACCUMULATION: MEASUREMENT, INFLUENCES AND INSTITUTIONS†

Savings and wealth accumulation are important dimensions of policy and research debates. This special issue comprises a collection of survey articles on topical issues ranging from the effects of access to credit, the rise of Islamic finance and sovereign wealth funds, the measurement of wealth inequality and genuine savings, the distribution of wealth across generations and retirement savings.

SAVINGS AND WEALTH ACCUMULATION: MEASUREMENT, INFLUENCES AND INSTITUTIONS[The views ]

Savings and wealth accumulation are important dimensions of policy and research debates. This special issue comprises a collection of survey articles on topical issues ranging from the effects of access to credit, the rise of Islamic finance and sovereign wealth funds, the measurement of wealth inequality and genuine savings, the distribution of wealth across generations and retirement savings.