Do actual and/or expected OCR changes affect the New Zealand dollar?

This note analyses the relationship between actual and expected Official Cash Rate (OCR) changes and subsequent exchange rate movements. It concludes that there has been a weak positive relationship between OCR changes (or expected changes) and the currency, but that this only applies over very short time periods. Many variables affect the New Zealand exchange rate and previous research has suggested that there are much more dominant drivers of the currency than interest rates, such as commodity prices.