Australia and New Zealand Exchange Rates : A Quantitative Assessment

Author/Editor:

Francis Vitek ; Hali J Edison

Publication Date:

January 1, 2009

Electronic Access:

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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.

Series:

Working Paper No. 09/7

Subject:

Frequency:

Monthly

English

Publication Date:

January 1, 2009

ISBN/ISSN:

9781451871548/1018-5941

Stock No:

WPIEA2009007

Price:

$18.00 (Academic Rate:$18.00)

Format:

Paper

Pages:

33

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