اثرات تکان دهنده سیاست پولی در نرخ ارز: شواهدی از نیوزیلند و استرالیا

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.

The shift to floating exchange rate regimes by many nations has led to an increase in exchange rate volatility. This, in turn, has prompted numerous studies aimed at analyzing this volatility and its causes, and whether exchange rate movements can be forecast. Central Bankers have a particular interest in exchange rate volatility and its causes as this volatility can impact on inflationary pressures and hence influence monetary policy itself. Furthermore, monetary policy will influence exchange rates. This is particularly so in countries with large external sectors such as New Zealand and Australia. This study examines the impact of New Zealand and Australian monetary policy on the value of their respective currencies. Following a similar approach to that adopted by Eichenbaum and Evans (1995), for the US market, three VAR models are estimated for each country. These models consider the impact of shifts in the monetary policy variables of short-term interest rates, interest rate differentials, and money supply on the exchange rate. Consideration is also given to the impact of production and consumer price levels on exchange rates. Monetary shocks, by way of an increase in interest rates, or the interest rate differential, should lead to an inflow of funds and an appreciation of the currency, as long as there is no change in inflationary expectations. Should the monetary shock lead to an upward revision of inflationary expectations, however, the impact on the currency could be minor or there could even be a depreciation of the currency if the upward revision of inflationary expectations was large enough. Increases in the monetary base may have an impact on exchange rates if these are seen to be inflationary. These relationships are examined for New Zealand and Australia.

The variance decomposition analysis carried out in this study shows that monetary shocks do contribute to the variability of the New Zealand dollar but do not explain the majority of the movement. The forecast error variances of this study indicate that past exchange rate values explain the majority of the variability in the New Zealand dollar but the CPI and production explain a considerable amount of the variability, more than the monetary variables: M1, the foreign–New Zealand interest differential, weighted average successful bids from open market operations, and the New Zealand interest rate. The Australian variance decompositions are similar to those of New Zealand. Past exchange rate values explain most of the variability in the exchange rate and in most cases the CPI and production have substantial roles in explaining the variability of the Australian dollar. The variance decomposition analysis differs as the monetary variables occasionally explain more of the movement in the Australian dollar. For example, the monetary variables in the three models, M1, the UK–Australian interest rate differential, the Australian cash rate, and the Australian interest rate, explain most of the movement in the Australian–UK exchange rate. The impulse response functions show that the New Zealand dollar and Australian dollar do not always respond to a positive, one standard deviation shock on monetary policy in the way theory suggests. Firstly, and consistent with other studies, there is little support for Dornbusch's (1976) overshooting hypothesis. However, rather than the maximal impact of the shock being delayed, as shown in other studies, monetary shocks lead to volatile movements in the New Zealand dollar and Australian dollar and the timing of the maximal impact of these shocks cannot always be determined. The second important result relates to the direction of exchange rate movements given a monetary policy shock. A number of theorists have suggested that a contraction (expansion) in monetary policy leads to an appreciation (depreciation) of the domestic currency. Most empirical studies also find that this relationship holds, however, the results of this study are mixed. A positive shock to the foreign–New Zealand interest rate differential (an expansion in monetary policy) led to the New Zealand dollar depreciating against all the currencies, and a positive shock to short-term New Zealand interest rates resulted in an appreciation of the New Zealand dollar in three out of four exchange rates examined, both consistent with theory. When the other two monetary variables, weighted average successful bids from open market operations and M1, were shocked, the results were not consistent with the theory. The exchange rate puzzle, found in other studies, that suggests a tightening of monetary policy leads to a depreciation of the domestic currency rather than an appreciation, is found for the New Zealand dollar. When there was a positive shock on weighted average successful bids from open market operations (contraction in monetary policy), the result is a depreciation of the New Zealand dollar for three of the four exchange rates. A positive shock on M1 (expansion in monetary policy) resulted in an appreciation of the New Zealand dollar for three out of the four exchange rates. The results were mixed when the impact of monetary shocks on the New Zealand dollar was examined. This suggests that the exchange rate responds in a different way to changes in monetary policy for small, open economies such as New Zealand compared to larger, open economies such as the US. As a small and open economy, New Zealand is sensitive to foreign shocks and these have not been included in the VAR models estimated. The way monetary policy is implemented in New Zealand may also account for the inconsistency. The response of the Australian dollar to a monetary shock is more consistent with theory and other studies. Firstly, a positive shock on M1 does result in the Australian dollar depreciating against the other currencies as expected, however there was some volatility in the movement of the Australian dollar. The Australian dollar also depreciated in response to a positive shock on the foreign–Australian interest differential as expected, but the maximal impact of the shock did not always occur contemporaneously. When there was a positive shock to the 11 am cash rate, the Australian dollar appreciated against all the currencies as expected, but the maximal impact of the shock was delayed in all cases. Finally, a positive shock on short-term Australian interest rates led to an appreciation of the Australian dollar against all the currencies and the maximal impact of the shock occurred contemporaneously for all the currencies, supporting the overshooting hypothesis.