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dc.contributor.authorHu, Baidingen
dc.contributor.authorLin, Yingjieen
dc.contributor.authorDalziel, Paul C.en
dc.date.accessioned2019-10-14T23:33:05Z
dc.date.issued2019-08-31en
dc.date.submitted2019-07-24en
dc.identifier.citationHu, B., Lin, Y., & Dalziel, P. (2019). Exchange rate puzzle in New Zealand: New evidence. Journal of Economic Research, 24(2), 223-246.en
dc.identifier.issn1226-4261en
dc.identifier.urihttps://hdl.handle.net/10182/11005
dc.description.abstractThis paper adopts an event-study approach that utilises a combination of the asset pricing model of the exchange rate due to Engel and West (2010) and a state space model to examine the impact of monetary policy shocks on the change of the New Zealand exchange rate. We find evidence to support the “exchange rate puzzle” (ERP) originally coined by Grilli and Roubini (1995). The ERP in the New Zealand context was also found in Wilkinson et al. (2001). Using newer data, the present study is able to account for the role of the recent global financial crisis (GFC) in influencing the nexus between the exchange rate and interest rate. It is found that the GFC had a mediating effect on the ERP, showing the exchange rate responded asymmetrically to monetary policy shocks.en
dc.format.extent223-246en
dc.language.isoenen
dc.publisherHanyang Economic Research Instituteen
dc.relationThe original publication is available from - Hanyang Economic Research Institute - http://jer.or.kr/en
dc.rights© The authorsen
dc.subjectmonetary policy shocksen
dc.subjectERPen
dc.subjectOCRen
dc.subjectevent studyen
dc.subjectGFCen
dc.titleExchange rate puzzle in New Zealand: New evidenceen
dc.typeJournal Article
lu.contributor.unitLincoln Universityen
lu.contributor.unitAgribusiness and Economics Research Uniten
lu.contributor.unitFaculty of Agribusiness and Commerceen
lu.contributor.unitDepartment of Global Value Chains and Tradeen
lu.contributor.unitLearning, Teaching and Libraryen
dc.subject.anzsrc150201 Financeen
dc.subject.anzsrc140207 Financial Economicsen
dc.subject.anzsrc1502 Banking, Finance and Investmenten
dc.subject.anzsrc14 Economicsen
dc.relation.isPartOfJournal of Economic Researchen
pubs.issue2en
pubs.organisational-group/LU
pubs.organisational-group/LU/Agribusiness & Economics Research Unit
pubs.organisational-group/LU/Faculty of Agribusiness and Commerce
pubs.organisational-group/LU/Faculty of Agribusiness and Commerce/GVCT
pubs.organisational-group/LU/Learning, Teaching and Library
pubs.organisational-group/LU/Research Management Office
pubs.organisational-group/LU/Research Management Office/PE20
pubs.organisational-group/LU/Research Management Office/QE18
pubs.publication-statusPublisheden
pubs.publisher-urlhttp://jer.or.kr/en
pubs.volume24en
dc.identifier.eissn1226-4261en
lu.identifier.orcid0000-0002-0991-1375
lu.identifier.orcid0000-0002-1757-6888


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