The effects of monetary policy shocks on exchange rates: Evidence from New Zealand and Australia |
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| Institution: | 1. Texas Technical University, Lubbock, TX, USA;2. Nanyang Business School, Division of Banking and Finance, Nanyang Technological University, S3-B1C-93 Nanyang Avenue, 639798, Singapore;3. Massey University, Palmerston North, New Zealand;1. University of South Florida, Morsani College of Medicine, Division of Allergy and Immunology, Tampa, Florida;2. Department of Medicine, Mount Sinai School of Medicine, New York, New York;3. Department of Family Medicine, University of Colorado, Denver, Colorado;4. Department of Medicine, University of North Carolina, Chapel Hill, North Carolina;5. Center for Clinical Informatics Research and Educations, and the Departments of Internal Medicine, Pediatrics, and Population and Quantitative Health Sciences, The MetroHealth System, Case Western Reserve University, Cleveland, Ohio;6. University of Miami Hospital and Clinics, Miller School of Medicine, Miami, Florida;7. Department of Medicine, University of Colorado, Denver, Colorado;11. Division of Allergy, Immunology, and Rheumatology, Department of Pediatrics, University of North Carolina at Chapel Hill. Chapel Hill, North Carolina;12. American Lung Association, Chicago, Illinois;8. Division of Adolescent/Young Adult Medicine, Boston Children’s Hospital, Boston, Massachusetts;9. Patient-Centered Outcomes Research Institute, Minneapolis, Minnsesota;10. The American Academy of Family Physicians’ National Research Network, Leawood, Kansas;71. Department of Internal Medicine, University of Puerto Rico, San Juan, Puerto Rico;112. Duke Clinical Research Institute, Durham, North Carolina;123. Department of Medicine, Johns Hopkins School of Medicine, Baltimore, Maryland;84. Department of Medicine, National Jewish Health, Denver, Colorado;95. Department of Family Medicine, University of Minnesota, Blaine, Minnesota;1. Department of Epidemiology and Biostatistics, Jiangsu Key Lab of Cancer Biomarkers, Prevention and Treatment, Collaborative Innovation Center for Cancer Personalized Medicine, School of Public Health, Nanjing Medical University, Nanjing, Jiangsu, China;2. Department of Epidemiology and Biostatistics, School of Public Health, Nantong University, Nantong, Jiangsu, China;3. Ministry of Education Key Laboratory for Environment and Health, School of Public Health, Tongji Medical College, Huazhong University of Science and Technology, Wuhan, Hubei, China;4. Department of Genetic Toxicology, The Key Laboratory of Modern Toxicology of Ministry of Education, School of Public Health, Nanjing Medical University, Nanjing, Jiangsu, China;5. State Key Laboratory of Reproductive Medicine, Department of Histology and Embryology, Nanjing Medical University, Nanjing, Jiangsu, China;6. Key Laboratory of Modern Toxicology of Ministry of Education, Institute of Toxicology, Nanjing Medical University, Nanjing, Jiangsu, China;7. School of Public Health, Key Lab of Public Health Safety of the Ministry of Education, Fudan University, Shanghai, China;1. MOE Key Laboratory of Aquatic Product Safety / State Key Laboratory for Biocontrol, School of Marine Sciences, Sun Yat-sen University, 135 Xingang Road West, Guangzhou, Guangdong, People''s Republic of China;2. School of Life Sciences, Sun Yat-sen University, 135 Xingang Road West, Guangzhou, Guangdong, People''s Republic of China;3. Fisheries College, Guangdong Ocean University, Zhanjiang, Guangdong, People''s Republic of China;4. Division of Cell Biology and Biophysics, School of Biological Sciences, University of Missouri-Kansas City, Kansas City, MO 64110, USA |
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| Abstract: | This study investigates the effect of monetary policy shocks in New Zealand and Australia on their respective exchange rates from 1985 to 1998 using vector autoregression methodology. The results show that monetary policy shocks do contribute to the variability of both exchange rates, but these movements are not always consistent with theory. In particular, there is little support for the overshooting hypothesis. Also the results show that the exchange rates do not always move in the direction normally anticipated, particularly for New Zealand. A contraction in monetary policy may lead to a depreciation of the domestic currency rather than an appreciation. |
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