Exchange Rates, Non‐Traded Goods and the Terms Of Trade: An Empirical Application for New Zealand
构建并检验了一个聚焦非贸易品和贸易条件变动的新西兰汇率决定模型，使用新的非贸易品供给数据估计误差修正模型，发现模型具有良好的实证特性，支持名义汇率的实际决定因素。
This article formulates and tests for New Zealand a model of exchange rate determination focusing on non‐tradeable goods and terms‐of‐trade shifts. We emphasize the equilibrium properties of this framework and, in this context, estimate an error correction model where adjustment in response to deviation from equilibrium is an important determinant of short‐run exchange rate movements. We estimate the model using a new data series on the supply of non‐tradeable goods. The model has desirable empirical characteristics, including a plausible error correction equation, strong support for cointegration and rapid convergence to the long‐run equilibrium. Moreover, a variety of diagnostic statistics, including parameter stability tests andout‐of‐sample forecasting performance, indicate the equation is a parsimonious representation of the data. These results provide considerable support for the emphasis on ‘real’ determinants of nominal exchange rates, in this case fluctuations in non‐traded goods supply and terms‐of‐trade.