Australia and New Zealand Exchange Rates: A Quantitative Assessment
IMF Working Papers, January 1, 2009
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- Australia and New Zealand Exchange Rates: A Quantitative Assessment
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Bibliographic details
- Authors: Hali J Edison, Francis Vitek
- Published: January 1, 2009
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781451871548.001
Scope and methods
- Describes three empirical models commonly used to conduct exchange rate assessments and applies them to data for Australia and New Zealand.
- Baseline analysis uses data and medium-term projections available as of October 2008.
- Includes a battery of sensitivity tests that alter underlying assumptions to assess robustness.
Core findings
- The baseline results suggest that the Australian and New Zealand dollars were broadly in line with fundamentals.
- There is wide variation across models in the assessment of exchange rate alignment with fundamentals.
- Sensitivity tests show that altering underlying assumptions can yield substantially different assessments.
Key sensitivities identified
- Results are particularly sensitive to:
- the choice of assessment horizon,
- the set of economies included in the sample,
- medium-term forecasts,
- the exchange rate reference period.
Publication and metadata
- Authors: Hali J Edison, Francis Vitek
- Publication date: January 1, 2009
- Series: Working Paper No. 2009/007
- Issue: 007
- Volume: 2009
- Pages: 33
- DOI: https://doi.org/10.5089/9781451871548.001
- ISBN: 9781451871548
- ISSN: 1018-5941
Subject and keywords (as provided)
- 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
Source: IMF Working Paper "Australia and New Zealand Exchange Rates: A Quantitative Assessment" (Working Paper No. 2009/007).