Nominal exchange rate neutrality: the case of Australia

Chris B. Harbinger and Albert Wijeweera

International Journal of Economics and Business Research, 2010, vol. 2, issue 5, 341-351

Abstract: This study uses quarterly macroeconomic data over the period of 1984-2003 along with a seven-variable structural vector autoregression model to investigate the nominal exchange rate neutrality hypothesis for the case of Australia. Impulse response functions and variance decompositions are generated for four different variations of the model for empirically testing the hypothesis. Empirical evidence presented in this paper support the nominal exchange rate neutrality. In addition, we find that the neutrality is invariant to the choice of the nominal exchange rate or the measure of monetary aggregates used in the estimation.

Keywords: exchange rate neutrality; vector autoregression; VAR; Australia; macroeconomics; impulse response functions; variance decompositions; monetary aggregates; economics; business research. (search for similar items in EconPapers)
Date: 2010
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.inderscience.com/link.php?id=35004 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ids:ijecbr:v:2:y:2010:i:5:p:341-351

Access Statistics for this article

More articles in International Journal of Economics and Business Research from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().