| Status | 已發表Published |
| Yield Curve, Exchange Rate and Transparency of Monetary Policy | |
Liu, M.-H.; Margaritis, D.; Zhang, Y.
| |
| 2016-12-01 | |
| Source Publication | The 29th Australasian Finance and Banking Conference
 |
| Abstract | Using an error correction model, we examine the long-term relationship and short-term dynamics between NZD/USD exchange rates and the US dollar value and the yield curve factors. We analyze how these relationships are affected by the transparency of monetary policy. We find that the introduction of Official Cash Rate (OCR) has a significant impact on the relationship both in the long-run and the short run. We also find evidence of asymmetric response of the exchange rates to changes in the US dollar value. |
| Keyword | Exchange rate Yield curve error correction model New Zealand dollar US dollar index |
| URL | View the original |
| Language | 英語English |
| The Source to Article | PB_Publication |
| PUB ID | 29121 |
| Document Type | Conference paper |
| Collection | DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS |
| Recommended Citation GB/T 7714 | Liu, M.-H.,Margaritis, D.,Zhang, Y.. Yield Curve, Exchange Rate and Transparency of Monetary Policy[C], 2016. |
| APA | Liu, M.-H.., Margaritis, D.., & Zhang, Y. (2016). Yield Curve, Exchange Rate and Transparency of Monetary Policy. The 29th Australasian Finance and Banking Conference. |
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