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What happens when the Kiwi flies? Sectoral effects of exchange rate shocks on the New Zealand economy

Karagedikli, Ozer; Ryan, Michael; Steenkamp, Daan; Vehbi, Tugrul

Description

We use a data-rich approach, a factor-augmented vector autoregression (FAVAR), to identify idiosyncratic exchange rate shocks and examine the effects of these shocks on different sectors of the New Zealand economy. We find that an unexpected shock to the exchange rate has significant effects on relatively tradable sectors of the economy. Whilst this is expected, relatively ‘more’ non-tradable sectors of the economy are also influenced by shocks to the exchange rate, presumably due to their...[Show more]

CollectionsANU Research Publications
Date published: 2016
Type: Journal article
URI: http://hdl.handle.net/1885/98411
Source: Economic Modelling
DOI: 10.1016/j.econmod.2015.10.034

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