RDP 8403: Modelling Recent Developments in Australian Asset Markets: Some Preliminary Results Appendix: RBII Specification[1]
November 1984
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1. Household Expenditure
2. Rate of Growth of Business Fixed Capital Stock
3. Stock of Dwellings
4. Exports of Goods and Services
5. Imports of Goods and Services
6. Domestic Production
7. Price of Domestic Production
8. Price of Exports of Goods and Services
9. Price of Government Current Expenditure
10. Average Weekly Earnings
11. Rate of Growth of Employment
12. Labour Supply
13. Non-Bank Holdings of Government Securities
14. Net Australian Private Capital Owned by Overseas Residents
15. Bank Advances
16. Personal Income Taxes
17. Bank Bill Rate
18. Bank Advances Rate
19. Money Rate
20. Bond Rate
21. ($A/$US) Exchange Rate
22. Foreign Reserves
23. Domestic Credit
24. Volume of Money
25. Inventories
26. Expected Sales
27. Private Expected Sales
28. Business Fixed Capital Stock
29. Employment
| A | bank advances to private sector |
| B | government bonds held by private non-bank groups |
| c | real cash benefits to persons |
| C | domestic credit |
| CTB | effective company tax base |
| d | real household consumption expenditure |
| E | exchange rate ($A/SUS) |
| F | net Australian private capital owned by overseas residents |
| Fg | net Australian government capital owned by overseas residents |
| F | net Australian private capital owned by overseas residents |
| g1 | real government current expenditure |
| g2 | real government capital expenditure |
| g3 | real public authorities capital expenditure |
| h | reauired liquidity ratio of the banking sector |
| i | real imports of goods and services |
| I | interest payments on government debt |
| k | proportionate change in the real stock of business fixed capital |
| k1 | proportionate change in the real stock of non-mining business fixed capital |
| k2 | prooortionate change in the stock of mining business fixed capital |
| K | real stock of business fixed capital |
| Kh | real stock of dwellings |
| Kminv | stock of mining capital |
| l | proportionate change in employment |
| L | employment |
| m | real stock of money (M/P) |
| mpk | marginal product of capital |
| mpl | marginal product of labour |
| M | stock of money (M3) |
| MT | target stock of money (M3) |
| MISC | miscellaneous items in the Commonwealth budget deficit |
| N | labour supply |
| P | price of domestic output |
| Pbt | price of domestic cutout net of indirect taxes |
| Pd | consumption deflator |
| pg | price of government consumption expenditure |
| Pi | Australian import prices ($US) |
| Pw | world prices ($US) |
| Pwl | price of wool ($US) |
| Px | price of exports |
| QA | synthetic variable for growth of bank advances, 1973 |
| QDS | synthetic variable for U.S. dock strike, 1969 |
| QE | synthetic variable for expectations about the exchange-rate, 1972-6 |
| QER | synthetic variable for timing of exchange rate change 1972, 1973, 1974, 1976 |
| QF | synthetic variable for capital inflow during “resource boom”, 1980 |
| Qi | synthetic variable for growtn of imports, 1974–1980 |
| Q1 | dummy variable for shake-out effect in labour market 1974-6 |
| Q60 | synthetic variable for period or fixed exchange rate 1959–1971 |
| Qrbl | dummy variable for increases in commercial bill rate 1974 |
| Qrm | synthetic variable for rise in rm, 1973 |
| QS | synthetic variable for increases in official interest-rates, 1961, 1973 |
| QS8 | dummy variable for the introduction of Australian Savings Bonds 1976(1)–(2) |
| QUS | dummy variable for devaluation or $US, 1973 |
| ra | interest rate on bank advances |
| rb | interest rate on 10 year government bonds |
| rbe | expected next-period interest rate on 10 year government bonds |
| rbl | interest rate on 90 day commercial bills |
| reu | interest rate on 90 day Eurodollar bills |
| rk | real marginal cost of capital |
| rm | interest rate on trading bank fixed deposits |
| rw | interest rate on 10 year US government bonus |
| R | gold ana foreign exchange reserves |
| RT | target stock of gold and foreign exchange reserves |
| s | sales |
| se | expected sales |
 |
private expected sales |
| sd | real statistical discrepancy |
| t | time trend starting in 1959(3) |
| t11 | index of income tax rate schedule |
| t2 | average rate of tax on consumption |
| t3 | average rate of tariffs |
| t4 | average rate of payroll tax |
| t5 | statutory company tax rate |
| t6 | average rate of tax on expenditure |
| r1 | receipts of direct taxes |
| r11 | receipts of personal income tax- |
| T12 | receipts of company tax |
| T2 | receipts of indirect taxes |
| T21 | receipts of sales tax |
| T22 | receipts of payroll tax |
| v | real stock of inventories of goods |
| wa | index of real award wages |
| wr | real marginal cost of labour |
| w | index of average earnings |
| x | real exports of goods and services |
| xd | real demand for exports of goods and services |
| xs | real supply of exports of goods and services |
| xw | real world exports of goods and services |
| y | real domestic output (net of depreciation) |
| ȳ | real normal domestic output (net or depreciation) |
| yd | real disposable income |
| yf | real farm output (net of depreciation) |
| ynf | real non-farm output (net of depreciation) |
| z | population of working age |
| ε | expected rate of depreciation |
| Parameter | Estimate |
|---|---|
| α1 | 0.112 |
| α2 | 0.688 |
| α3 | 0.024 |
| α4 | 0.834 |
| α5 | 0.207 |
| α6 | 0.900 |
| α7 | 0.413 |
| α8 | 0.538 |
| α9 | 1.435 |
| α10 | 0.232 |
| α11 | 2.169 |
| α12 | 0.130 |
| α13 | |
| α14 | 0.056 |
| α15 | 0.206 |
| α16 | 0.415 |
| α17 | 0.225 |
| α18 | 0.219 |
| α19 | 0.447 |
| α20 | 0.272 |
| α21 | 0.048 |
| α22 | 0.500 |
| α23 | 0.500 |
| β1 | −0.029 |
| β2 | −5.775 |
| β3 | 0.200 |
| β4 | 7.321 |
| β5 | −4.086 |
| β6 | −3.235 |
| β7 | 0.934 |
| β8 | 0.489 |
| β9 | −0.391 |
| β10 | 0.400 |
| β11 | 0.009 |
| β12 | −1.019 |
| βl3 | −0.117 |
| β14 | 0.061 |
| β15 | 0.214 |
| β16 | −0.333 |
| βl7 | 0.645 |
| β18 | −1.065 |
| β19 | 0.015 |
| β20 | 0.188 |
| β21 | 0.928 |
| β22 | −0.079 |
| β23 | 0.180 |
| β24 | 0.019 |
| β25 | 0.231 |
| β26 | 0.718 |
| β27 | −0.130 |
| β28 | 0.005 |
| β29 | 0.200 |
| β30 | 0.048 |
| β31 | 0.381 |
| β32 | −0.044 |
| β33 | 0.258 |
| β34 | 0.081 |
| β35 | 1.56611 |
| β36 | 0.139 |
| β37 | −0.327 |
| β38 | |
| β39 | |
| β40 | 19.606 |
| β41 | −19.606 |
| β42 | |
| β43 | −0.503 |
| β44 | −0.113 |
| β45 | 0.250 |
| β46 | 6.765 |
| β47 | −0.500 |
| β48 | 0.163 |
| β49 | 0.057 |
| β50 | 0.172 |
| β51 | 0.029 |
| β52 | −3.8025 |
| β53 | 0.558 |
| β54 | 0.5436 |
| β55 | 0.043 |
| β56 | 0.500 |
| β57 | 0.050 |
| β58 | 0.022 |
| β59 | −0.027 |
| β60 | 0.530 |
| β61 | 0.050 |
| β62 | 0.700 |
| β63 | 0.700 |
| β64 | 0.500 |
| Variable[2] | Notation | Growth Rate |
|---|---|---|
d, K, Kh, x, i, y, v,  ,  ,
 , c*, se,  , sd*,
 ,  |
λ1 | (.012) |
P, Px,  ,  ,  |
λ2 − λ1 | (.009) |
| Pg, W | λ2 − λ1 + λ4 | (.0165) |
| N, L, Z* | λ1 − λ4 | (.0045) |
| Trend rate of technical progress | λ3 | (.0045) |
| Trend rate of growth of labour productivity | λ4 = λ3/(1 − β10) | (.0075) |
| wa | λ5 | (.0040) |
B, F, A, T11, R*, C, M, CTB*,  , MISC*, Mt*,
I*,  |
λ2 | (.021) |
E, rb, rb1,  , r*eu,
rm, ra, k, l, h*,  ,  ,  ,  ,  ,  |
– | (0.0) |
Footnotes
A subscript of zero (o) indicates a constant. D is the differential operation d/dt, e is the exponential operator, and log is the logarithmic (to base e) operator. A variable with a hat (^) above it indicates the desired value of the variable. [1]
An asterisk (*) next to a variable indicates that it is exogenous. [2]