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Modelling the Long–run Real Effective Exchange Rate of the New Zealand Dollar

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  • Ronald MacDonald

Abstract

In this paper we use the behavioural and permanent equilibrium exchange rate approaches to produce long–run equilibrium exchange rates for the effective real exchange rates of the New Zealand dollar. We demonstrate that a well founded measure of the equilibrium value of the dollar may be recovered from a relatively small set of fundamental variables and that this can be used to produce an assessment of the dollar in terms of periods of misalignment.

Suggested Citation

  • Ronald MacDonald, 2002. "Modelling the Long–run Real Effective Exchange Rate of the New Zealand Dollar," Australian Economic Papers, Wiley Blackwell, vol. 41(4), pages 519-537, December.
    • Handle: RePEc:bla:ausecp:v:41:y:2002:i:4:p:519-537
    DOI: 10.1111/1467-8454.00178
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    Cited by:

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    2. Andrea Saayman, 2007. "The Real Equilibrium South African Rand/US Dollar Exchange Rate: A Comparison of Alternative Measures," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 13(2), pages 183-199, May.
    3. Rey, Serge, 2009. "L’apport du NATREX à la modélisation des taux de change d’équilibre : théorie et application au dollar canadien," L'Actualité Economique, Société Canadienne de Science Economique, vol. 85(2), pages 131-181, juin.
    4. Angela Huang, 2004. "Examining finite-sample problems in the application of cointegration tests for long-run bilateral exchange rates," Reserve Bank of New Zealand Discussion Paper Series DP 2004/08, Reserve Bank of New Zealand.
    5. Ms. Hali J Edison & Mr. Francis Vitek, 2009. "Australia and New Zealand Exchange Rates: A Quantitative Assessment," IMF Working Papers 2009/007, International Monetary Fund.
    6. Sosunov, K. & Ushakov, N., 2009. "Determination of the Real Exchange Rate of the Ruble and Assessment of Long-Run Policy of Real Exchange Rate Targeting," Journal of the New Economic Association, New Economic Association, issue 3-4, pages 97-121.
    7. Reza Siregar & Ramkishen Rajan, 2006. "Models of Equilibrium Real Exchange Rates Revisited: A Selective Review of the Literature," Centre for International Economic Studies Working Papers 2006-04, University of Adelaide, Centre for International Economic Studies.
    8. Serge Rey, 2009. "Des insuffisances de la PPA à l’apport du NATREX : une revue critique des théories du taux de change réel d’équilibre," Working Papers hal-01880363, HAL.
    9. Nikolaos Giannellis & Athanasios Papadopoulos, 2007. "Estimating the Equilibrium Effective Exchange Rate for Potential EMU Members," Open Economies Review, Springer, vol. 18(3), pages 307-326, July.
    10. Reza Siregar, 2011. "The Concepts of Equilibrium Exchange Rate: A Survey of Literature," Staff Papers, South East Asian Central Banks (SEACEN) Research and Training Centre, number sp81, April.
    11. Andrea Saayman & Melville Saayman, 2008. "Determinants of Inbound Tourism to South Africa," Tourism Economics, , vol. 14(1), pages 81-96, March.
    12. Chatterjee, Srikanta & Daly, Vince & Ghatak, Subrata, 2002. "Prices, Exchange Rates and Export Competitiveness of New Zealand: an assessment using Divisia Indices," Economics Discussion Papers 2002-9, School of Economics, Kingston University London.
    13. Dominick Stephens, 2004. "The equilibrium exchange rate according to PPP and UIP," Reserve Bank of New Zealand Discussion Paper Series DP 2004/03, Reserve Bank of New Zealand.
    14. Isabell Koske, 2008. "Assessing the Equilibrium Exchange Rate of the Malaysian Ringgit: A Comparison of Alternative Approaches," Asian Economic Journal, East Asian Economic Association, vol. 22(2), pages 179-208, June.
    15. Holtemöller, Oliver & Mallick, Sushanta, 2013. "Exchange rate regime, real misalignment and currency crises," Economic Modelling, Elsevier, vol. 34(C), pages 5-14.
    16. Hali Edison & Francis Vitek, 2009. "Exchange rate assessments for Australia and New Zealand," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 1(2), pages 155-176, May.
    17. Bernard Njindan Iyke & Nicholas M. Odhiambo, 2017. "Modelling long-run equilibrium exchange rate in Botswana," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 10(3), pages 268-285, September.
    18. Altar, Moisa & Albu, Lucian Liviu & Dumitru, Ionut & Necula, Ciprian, 2009. "Estimation of Equilibrium Real Exchange Rate and of Deviations for Romania," Working Papers of National Institute for Economic Research 090105, Institutul National de Cercetari Economice (INCE).
    19. Andrea Saayman, 2010. "A Panel Data Approach To The Behavioural Equilibrium Exchange Rate Of The Zar," South African Journal of Economics, Economic Society of South Africa, vol. 78(1), pages 57-75, March.
    20. Rabhi, Ayoub, 2020. "Taux de change d’équilibre et compétitivité au Maroc : Estimation par le Modèle ARDL de cointégration [Equilibrium exchange rate and competitiveness in Morocco: Estimation by ARDL Cointegration Mod," MPRA Paper 98294, University Library of Munich, Germany.

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