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Australia and New Zealand Exchange Rates: A Quantitative Assessment

Australia and New Zealand Exchange Rates: A Quantitative Assessment by Hali J. Edison
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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.
International Monetary Fund; January 2009
33 pages; ISBN 9781452721828
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Title: Australia and New Zealand Exchange Rates: A Quantitative Assessment
Author: Hali J. Edison; Francis Vitek