题目：Exchange rate puzzle: the case of New Zealand
主讲人：胡白丁 教授（新西兰林肯大学）
时间：2016年12月12日（周一）上午9:30—11:00
地点：主楼六层
主讲人简介：
    Dr Baiding Hu is a senior lecturer of economics in the Faculty of Agribusiness and Commerce at Lincoln University, Christchurch, New Zealand. He holds a PhD in economics from the University of Western Australia. Prior to joining Lincoln University, he had held faculty positions at La Trobe and Macquarie Universities in Australia. Baiding has also been an economist for the National Institute of Economics and Industry Research, a Melbourne based private consulting firm, where he was involved in providing forecasts of sectoral energy consumption for both the public and private sectors. His current research interests include energy economics, productivity and efficiency, and Chinese economy.
 
内容介绍：
    This paper examines the impact of monetary policy shocks on the exchange rate in the New Zealand context using an event-study approach. Monetary policy shock is considered as the unexpected change in monetary policy. Since March 1999 the Reserve Bank of New Zealand (RBNZ) has adopted Official Cash Rate (OCR) as the monetary policy instrument. Therefore, the present research uses changes in OCR expectations as the measure of monetary policy shock. In view of Zettelmeyer (2004), short-term interest rate changes are sifted to obtain those that are generated by OCR surprises by way of instrumental variable regressions. This implies that short-term interest rates can be the channel for OCR surprises to enter the currency exchange market. Our results indicate that a positive monetary policy shock, measured as an increase in the instrumented short-term interest rates, resulted in a depreciation of the exchange rate during the pre- and post-Global Financial Crisis (GFC) period, which is evidence for the exchange rate puzzle (ERP). During the GFC period, the ERP was absent, which lends support to Dornbusch’s (1976) overshooting hypothesis and uncovered interest parity.