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Exchange rate and commodity price pass‐through in New Zealand

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Abstract

Exchange rate changes affect prices in New Zealand. Using data from the last 25 years, this note illustrates how the inflation responses have differed depending on what caused the exchange rate to move.

Suggested Citation

  • Miles Parker & Benjamin Wong, 2014. "Exchange rate and commodity price pass‐through in New Zealand," Reserve Bank of New Zealand Analytical Notes series AN2014/01, Reserve Bank of New Zealand.
    • Handle: RePEc:nzb:nzbans:2014/01
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    File URL: http://www.rbnz.govt.nz/-/media/ReserveBank/Files/Publications/Analytical%20notes/2014/an2014-01.pdf
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    References listed on IDEAS

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    1. Goncalves, Silvia & Kilian, Lutz, 2004. "Bootstrapping autoregressions with conditional heteroskedasticity of unknown form," Journal of Econometrics, Elsevier, vol. 123(1), pages 89-120, November.
    2. Ozer Karagedikli & Michael Ryan & Daan Steenkamp & Tugrul Vehbi, 2013. "What happens when the Kiwi flies? The sectoral effects of the exchange rate shocks," CAMA Working Papers 2013-73, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    3. Miles Parker, 2014. "Exchange rate movements and consumer prices: some perspectives," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 77, pages 31-41, March.
    4. Chris McDonald, 2012. "Kiwi drivers the New Zealand dollar experience," Reserve Bank of New Zealand Analytical Notes series AN2012/02, Reserve Bank of New Zealand.
    5. Choudhri, Ehsan U. & Faruqee, Hamid & Hakura, Dalia S., 2005. "Explaining the exchange rate pass-through in different prices," Journal of International Economics, Elsevier, vol. 65(2), pages 349-374, March.
    6. Tim Hampton, 2001. "How much do import price shocks matter for consumer prices?," Reserve Bank of New Zealand Discussion Paper Series DP2001/06, Reserve Bank of New Zealand.
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    Cited by:

    1. Günes Kamber & Gabriela Nodari & Benjamin Wong, 2016. "The Impact of Commodity Price Movements on the New Zealand Economy," Reserve Bank of New Zealand Analytical Notes series AN2016/05, Reserve Bank of New Zealand.
    2. Miles Parker, 2014. "Exchange rate movements and consumer prices: some perspectives," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 77, pages 31-41, March.
    3. Kristin Forbes & Ida Hjortsoe & Tsvetelina Nenova, 2020. "International Evidence on Shock-Dependent Exchange Rate Pass-Through," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 68(4), pages 721-763, December.
    4. Michael Callaghan & Enzo Cassino & Tugrul Vehbi & Benjamin Wong, 2019. "Opening the toolbox: how does the Reserve Bank analyse the world?," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 82, pages 1-14, April.
    5. Nguyen Van Phuc & Vo Hong Duc, 2021. "Macroeconomics Determinants of Exchange Rate Pass-Through: New Evidence from the Asia-Pacific Region," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 57(1), pages 5-20, January.
    6. Daan Steenkamp, 2014. "How volatile are New Zealand’s terms of trade? An international comparison," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 77, pages 3-14, June.

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