Australia and New Zealand Exchange Rates: A Quantitative Assessment

January 1, 2009

Preview Citation

Format: Chicago

Hali J Edison, and Francis Vitek. Australia and New Zealand Exchange Rates: A Quantitative Assessment, (USA: International Monetary Fund, 2009) accessed December 22, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

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.

Subject: Balance of payments, Current account, Current account balance, Exchange rate assessments, Exchange rates, Foreign exchange, Real effective exchange rates

Keywords: Australia, Australia and New Zealand, Current account, Current account balance, Current account gap, Current account norm, Equilibrium exchange rate model, Equilibrium real, Equilibrium real exchange rate approach, Estimate, Exchange rate assessments, Exchange rate overvaluation estimate, Exchange rates, External sustainability approach, Growth rate, Macroeconomic balance approach, New Zealand dollar, Overvaluation estimate, Real effective exchange rates, Reference exchange rate, Sensitivity analysis, Underlying current account, WP

Publication Details

Pages:

33
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2009/007
Stock No:

WPIEA2009007
ISBN:

9781451871548
ISSN:

1018-5941

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