Exchange rate assessments for Australia and New Zealand
Purpose – The purpose of this paper is to assess the level of the real effective exchange rate in Australia and New Zealand. Design/methodology/approach – The paper describes three empirical models commonly used to conduct exchange rate assessments and applies them to data for Australia and New Zealand. Findings – The baseline results using data and medium-term projections, available as of October 2008, suggest that the Australian and New Zealand dollar were broadly in line with fundamentals, but with a wide variation across models. A battery of sensitivity tests illustrates 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. Originality/value – The paper provides an assessment of the exchange rates in Australia and New Zealand.
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Volume (Year): 1 (2009)
Issue (Month): 2 (May)
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References listed on IDEAS
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- Kenneth A. Froot & Kenneth Rogoff, 1994.
"Perspectives on PPP and Long-Run Real Exchange Rates,"
NBER Working Papers
4952, National Bureau of Economic Research, Inc.
- Froot, Kenneth A. & Rogoff, Kenneth, 1995. "Perspectives on PPP and long-run real exchange rates," Handbook of International Economics, in: G. M. Grossman & K. Rogoff (ed.), Handbook of International Economics, edition 1, volume 3, chapter 32, pages 1647-1688 Elsevier.
- Ken Froot & Kenneth Rogoff, . "Perspectives on PPP and Long-Run Real Exchange Rates," Working Paper 32027, Harvard University OpenScholar.
- Maurice Obstfeld & Kenneth Rogoff, 1994.
"The Intertemporal Approach to the Current Account,"
NBER Working Papers
4893, National Bureau of Economic Research, Inc.
- Maurice Obstfeld and Kenneth Rogoff., 1994. "The Intertemporal Approach to the Current Account," Center for International and Development Economics Research (CIDER) Working Papers C94-044, University of California at Berkeley.
- Bela Balassa, 1964. "The Purchasing-Power Parity Doctrine: A Reappraisal," Journal of Political Economy, University of Chicago Press, vol. 72, pages 584.
- Nikola Dvornak & Marion Kohler & Gordon Menzies, 2003.
"Australia’s Medium-run Exchange Rate: A Macroeconomic Balance Approach,"
RBA Research Discussion Papers
rdp2003-03, Reserve Bank of Australia.
- Nikola Dvornak & Marion Kohler & Gordon Menzies, 2005. "Australia's Medium-Run Exchange Rate: A Macroeconomic Balance Approach," The Economic Record, The Economic Society of Australia, vol. 81(253), pages 101-112, 06.
- Anne-Marie Brook & David Hargreaves, 2000. "A macroeconomic balance measure of New Zealand's equilibrium exchange rate," Reserve Bank of New Zealand Discussion Paper Series DP2000/09, Reserve Bank of New Zealand.
- Kenneth Rogoff, 1996. "The Purchasing Power Parity Puzzle," Journal of Economic Literature, American Economic Association, vol. 34(2), pages 647-668, June.
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