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Australia and New Zealand Exchange Rates: A Quantitative Assessment

Author

Listed:
  • Ms. Hali J Edison
  • Mr. Francis Vitek

Abstract

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.

Suggested Citation

  • 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.
    • Handle: RePEc:imf:imfwpa:2009/007
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    References listed on IDEAS

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    Cited by:

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    3. International Monetary Fund, 2009. "Papua New Guinea: Selected Issues and Statistical Appendix," IMF Staff Country Reports 2009/113, International Monetary Fund.
    4. Miles Workman, 2015. "Estimating the Cyclically- and Absorption-adjusted Fiscal Balance for New Zealand," Treasury Working Paper Series 15/09, New Zealand Treasury.

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