Exchange Rates, Non-traded Goods and the Terms of Trade: An Empirical Application for New Zealand
AbstractThis article formulates and tests for New Zealand a model of exchange rate determination focusing on non-tradeable goods and terms-of-trade shifts. The authors emphasize the equilibrium properties of this framework and, in this context, estimate an error correction model where adjustment in response to deviation from equilibrium is an important determinant of short-run exchange rate movements. They estimate the model using a new data series on the supply of non-tradeable goods. The model has desirable empirical characteristics, including a plausible error correction equation, strong support for cointegration and rapid convergence to the long-run equilibrium. Moreover, a variety of diagnostic statistics, including parameter stability tests and out-of-sample forecasting performance, indicate the equation is a parsimonious representation of the data. These results provide considerable support for the emphasis on 'real' determinants of nominal exchange rates, in this case fluctuations in non-traded goods supply and terms-of-trade. Copyright 1997 by Blackwell Publishing Ltd
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoArticle provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics.
Volume (Year): 59 (1997)
Issue (Month): 1 (February)
Contact details of provider:
Postal: Manor Rd. Building, Oxford, OX1 3UQ
Web page: http://www.blackwellpublishing.com/journal.asp?ref=0305-9049
More information through EDIRC
Other versions of this item:
- Eric Hansen & Michael Hutchison, 1995. "Exchange rates, non-traded goods and the terms-of-trade: an empirical application for New Zealand," Pacific Basin Working Paper Series 95-01, Federal Reserve Bank of San Francisco.
- Eric Hansen & Michael M. Hutchison, . "Exchange Rates, Non-Traded Goods and the Terms-of-Trade: An Empirical Application for New Zealand," EPRU Working Paper Series 96-11, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics.
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Robert A Buckle & Kunhong Kim & Heather Kirkham & Nathan McLellan & Jared Sharma, 2002. "A structural VAR model of the New Zealand business cycle," Treasury Working Paper Series 02/26, New Zealand Treasury.
- Economics Department, 1995. "Recent Reserve Bank research," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 58, September.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.