Australia and New Zealand Exchange Rates : A Quantitative Assessment

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Australia and New Zealand Exchange Rates : A Quantitative Assessment
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Volume/Issue:
2009/7
Series:
IMF Working Papers
Author(s):
Hali Edison, and Francis Vitek
Publisher:
INTERNATIONAL MONETARY FUND
Published Date:
January 2009
DOI:
http://dx.doi.org/10.5089/9781451871548.001
ISBN:
9781451871548
ISSN:
1018-5941
Page:
33
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.
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