Advanced Search
MyIDEAS: Login

The New Zealand dollar through the global financial crisis

Contents:

Author Info

Registered author(s):

    Abstract

    In this article, we examine the impact of the global financial crisis on the New Zealand dollar (NZD). The NZD fell, on a trade-weighted basis, by 35 percent over the period from 2007 to early 2009 during the peak of the crisis, and remains around 10-12 percent below its pre-crisis peak. The impact of the carry trade on the value of the NZD appears to have diminished, as international investors shifted their attention to higher-yielding currencies, such as the Australian dollar and the Brazilian real. There have also been several periods of market turbulence during the crisis, during which movements in the exchange rate have been driven primarily by declines in the risk appetite of international investors. These developments are consistent with the decline in liquidity in the NZD currency market compared to pre-crisis levels. Our regime-switching model of the NZD/US dollar (USD) exchange rate identifies several instances during the past three years when the key exchange rate driver has changed from relative interest rates to investors’ risk appetite.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.rbnz.govt.nz/research_and_publications/reserve_bank_bulletin/2010/2010sep73_3cassinowallis.pdf
    Download Restriction: no

    Bibliographic Info

    Article provided by Reserve Bank of New Zealand in its journal Reserve Bank of New Zealand Bulletin.

    Volume (Year): 73 (2010)
    Issue (Month): (September)
    Pages: 20-30

    as in new window
    Handle: RePEc:nzb:nzbbul:sept2010:2

    Contact details of provider:
    Postal: P.O. Box 2498, Wellington
    Phone: 64 4 471-3767
    Fax: 64 4 471-2270
    Email:
    Web page: http://www.rbnz.govt.nz
    More information through EDIRC

    Related research

    Keywords:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Marion Kohler, 2010. "Exchange rates during financial crises," BIS Quarterly Review, Bank for International Settlements, March.
    2. Brooks,Chris, 2008. "Introductory Econometrics for Finance," Cambridge Books, Cambridge University Press, number 9780521694681, November.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Willy Chetwin & Tim Ng & Daan Steenkamp, 2013. "New Zealand’s short- and medium-term real exchange rate volatility: drivers and policy implications," Reserve Bank of New Zealand Analytical Notes series AN2013/03, Reserve Bank of New Zealand.
    2. Chris McDonald, 2012. "Kiwi drivers the New Zealand dollar experience," Reserve Bank of New Zealand Analytical Notes series AN2012/02, Reserve Bank of New Zealand.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:nzb:nzbbul:sept2010:2. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Reserve Bank of New Zealand Knowledge Centre).

    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.