RDP 8608: Exchange Rate Regimes and the Volatility, of Financial Prices: The Australian Case Appendix B: Differenced Data

Robert G. Trevor and Stephen G. Donald

July 1986

DIFFERENCED SERIES[*]

Table B1
Granger-Causality Test Results: Pre-Float
(Marginal Significance Levels)
Equation
 		 Explanatory Variable
AUSTWI AUSRATE USTWI USRATE DMTWI DMRATE JAPTWI JAPRATE FOREIGN
AUSTWI – .0001 .7701 .1598 .2312 .5499 .8894 .1622 .0391
AUSTRATE .0742 – .5935 .4106 .5967 .9486 .9655 .4562 .3563
USTWI .6997 .9889 – .1019 .0780 .1354 .0011 .1212 –
USRATE .5587 .2248 .0981 – .9262 .5197 .3351 .2660 –
DMTWI .0584 .1596 .5905 .8940 – .0247 .3025 .0188 –
DMRATE .1202 .9287 .2335 .1152 .0110 – .2151 .6208 –
JAPTWI .9647 .9735 .2545 .2429 .6608 .2429 – .4635 –
JAPRATE .4587 .5926 .5124 .7220 .5837 .0037 .2771 – –
Table B2
Granger-Causality Test Results: Post-Float
(Marginal Significance Levels)
Equation
 		 Explanatory Variable
AUSTWI AUSRATE USTWI USRATE DMTWI DMRATE JAPTWI JAPRATE FOREIGN
AUSTWI – .0597 .0003 .1201 .0258 .0108 .2137 .6083 .0011
AUSRATE .0451 – .1301 .0306 .3968 .7530 .2066 .3236 .4193
USTWI .0513 .4981 – .4244 .7811 .2582 .6994 .9415 –
USRATE .7274 .0910 .6858 – .8999 .0484 .7434 .8222 –
DMTWI .0119 .0191 .0001 .0705 – .1577 .0151 .5444 –
DMRATE .7727 .9890 .0108 .1364 .1086 – .6041 .0002 –
JAPTWI .8957 .7350 .1221 .4972 .1707 .6919 – .7046 –
JAPRATE .7785 .5126 .0294 .0929 .0325 .2909 .3950 – –
Table B3
Correlation Matrix: Pre-Float
  AUSTWI AUSRATE USTWI USRATE DMTWI DMRATE JAPTWI JAPRATE
AUSTWI 1 .4591 −.0563 .0440 −.0415 .1694 .0216 .0618
AUSRATE   1 −.0139 .1096 .0060 .0169 .0078 .0026
USTWI     1 .4090 −.5064 .0059 −.5230 −.0008
USRATE       1 −.3333 .0150 −.2459 −.0117
DMTWI         1 −.0346 .2786 .0389
DMRATE           1 .0019 −.0764
JAPTWI             1 −.0273
JAPRATE               1
Table B4
Correlation Matrix: Post-Float
  AUSTWI AUSRATE USTWI USRATE DMTWI DMRATE JAPTWI JAPRATE
AUSTWI 1 −.2106 −.1919 −.0569 .1587 −.0528 .0761 .0582
AUSRATE   1 .0184 −.0220 .0232 −.0267 .0225 .0304
USTWI     1 .2529 −.8004 −.0067 −.2634 −.0554
USRATE       1 −.1967 .0303 −.1408 −.1431
DMTWI         1 −.0419 .0432 .0346
DMRATE           1 .0915 .0621
JAPTWI             1 .0617
JAPRATE               1
Table B5
Variance Decomposition for AUSTWI: Pre-Float
Days
Ahead		 Forecast
Variance		 Per cent Due to Innovations in AUSTWI
ROWTWI
Foreign AUSTWI AUSRATE
0 .21 4.7 95.3 – 1.21
1 .28 6.2 93.6 .2 1.21
2 .29 6.9 91.0 2.1 1.22
3 .29 7.6 90.2 2.2 1.21
4 .30 8.6 88.5 3.1 1.23
5 .32 10.1 84.1 5.8 1.23
6 .32 10.3 83.7 6.0 1.24
7 .33 11.2 82.7 6.1 1.24
8 .33 11.5 82.4 6.1 1.24
9 .33 11.9 81.9 6.2 1.24
10 .33 12.1 81.7 6.2 1.24
15 .34 12.7 80.8 6.5 1.24
20 .34 13.2 80.2 6.6 1.24
30 .34 13.6 79.7 6.7 1.24
Table B6
Variance Decomposition for AUSTWI; Post-Float
Days
Ahead		 Forecast
Variance		 Per cent Due to Innovations in AUSTWI
ROWTWI
Foreign AUSTWI AUSRATE
0 .68 4.3 95.7 – 2.43
1 .92 6.8 93.1 .1 2.46
2 .99 12.9 87.0 .1 2.49
3 1.01 14.3 85.3 .2 2.45
4 1.03 15.0 84.4 .6 2.46
5 1.05 15.9 83.1 1.0 2.46
6 1.07 16.5 81.2 2.3 2.46
7 1.08 16.8 80.9 2.3 2.58
8 1.10 17.2 79.5 2.3 2.58
9 1.11 18.7 79.0 2.3 2.58
10 1.12 18.9 78.8 2.3 2.58
15 1.14 19.5 77.7 2.8 2.58
20 1.15 19.7 77.2 3.1 2.58
30 1.16 19.9 76.7 3.4 2.58
Table B7
Variance Decomposition for AUSRATE: Pre-Float
Days
Ahead		 Forecast
Variance		 Per Cent Due to Innovations in AUSTWI
ROWTWI
Foreign AUSTWI AUSRATE
0 .08 1.7 21.0 77.3 2.43
1 .09 4.3 24.6 71.1 2.52
2 .09 5.9 24.5 69.6 2.55
3 .10 6.9 24.1 69.0 2.55
4 .10 7.3 23.6 69.1 2.57
5 .10 7.7 23.5 68.8 2.56
6 .10 8.1 23.5 68.4 2.56
7 .10 8.7 23.3 68.0 2.57
8 .11 9.1 23.3 67.6 2.57
9 .11 9.4 23.2 67.4 2.57
10 .11 9.5 23.2 67.3 2.57
15 .11 10.2 22.9 66.9 2.57
20 .11 10.4 22.8 66.8 2.57
30 .11 10.6 22.7 66.7 2.57
Table B8
Variance Decomposition for AUSRATE: Post-Float
Days
Ahead		 Forecast
Variance		 Per Cent Due to Innovations in AUSTWI
ROWTWI
Foreign AUSTWI AUSRATE
0 .027 .9 4.7 94.4 2.65
1 .031 2.5 4.4 93.1 2.74
2 .032 3.4 4.9 91.7 2.74
3 .033 5.5 4.9 89.6 2.72
4 .034 5.9 5.4 88.7 2.72
5 .034 6.2 5.8 88.0 2.72
6 .035 7.7 5.7 86.6 2.72
7 .035 7.8 6.4 85.8 2.72
8 .036 8.3 6.3 85.4 2.72
9 .036 8.7 6.5 84.8 2.72
10 .036 9.2 6.5 84.3 2.72
15 .037 10.0 6.9 83.1 2.72
20 .038 10.5 7.1 82.4 2.72
30 .038 11.2 7.2 81.6 2.72

Footnote

The data were pre-filtered by the (1-L) transformation. All results refer to these pre-filtered data. The pre-float VAR has five lags and no time trend; the post-float VAR has three lags and a linear time trend. [*]