Australia and New Zealand Exchange Rates : A Quantitative Assessment

The paper describes three empirical models commonly used to conduct exchange rate assessments and applies them to data for Australia and New Zealand. The baseline results using data and mediumterm projections available as of October 2008, suggest that the Australian and New Zealand dollars were broadly in line with fundamentals, but with a wide variation across models. A battery of sensitivity tests illustrate that altering the underlying assumptions can yield substantially different assessments. The results are particularly sensitive to the choice of assessment horizon, the set of economies included in the sample, medium-term forecasts, and the exchange rate reference period.
Publication date: January 2009
ISBN: 9781451871548
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Topics covered in this book

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Money and Monetary Policy , International - Economics , macroeconomic balance approach , equilibrium real exchange rate approach , external sustainability approach , exchange rate , current account , current account balance , effective exchange rate , real effective exchange rate

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