RDP 8608: Exchange Rate Regimes and the Volatility, of Financial Prices: The Australian Case Appendix C: Sims Filtered Data

SIMS FILTERED SERIES[*]

Table C1
Granger-Causality Test Results: Pre-Float
(Marginal Significance Levels)
Equation
 
Explanatory Variable
AUSTWI AUSRATE USTWI USRATE DMTWI DMRATE JAPTWI JAPRATE FOREIGN
AUSTWI .0003 .4545 .2913 .3854 .9112 .9891 .1991 .4829
AUSTRATE .0761 .2045 .5343 .2715 .7864 .9268 .2142 .1512
USTVI .3798 .9779 .4115 .0975 .3109 .3281 .1268
USRATE .3853 .4838 .0394 .7306 .7641 .2878 .2529
DMTWI .0448 .0404 .5940 .9736 .1022 .9856 .0595
DMRATE .0372 .6824 .1923 .1512 .0220 .1088 .6048
JAPTWI .8548 .9147 .1143 .2582 .6842 .3562 .4832
JAPRATE .8274 .2066 .4032 .2862 .9272 .0141 .5577
Table C2
Granger-Causality Test Results: Post-Float
(Marginal Significance Levels)
Equation
 
Explanatory Variable
AUSTWI AUSRATE USTWI USRATE DMTWI DMRATE JAPTWI JAPRATE FOREIGN
AUSTWI .4475 .0001 .2851 .0102 .1171 .0638 .6729 .0006
AUSRATE .6303 .6474 .4540 .8884 .2486 .9650 .2355 .4338
USTWI .0744 .4043 .2378 .6077 .5418 .7565 .7378
USRATE .9808 .8647 .6652 .4852 .1573 .8322 .8566
DMTWI .0713 .1005 .0001 .2362 .1186 .0003 .5523
DMRATE .7059 .7406 .0631 .0155 .1132 .8564 .0001
JAPTWI .8041 .3148 .0354 .4969 .3715 .6780 .8584
JAPRATE .8309 .9295 .0190 .3149 .0334 .2885 .1880
Table C3
Correlation Matrix: Pre-Float
  AUSTWI AUSRATE USTWI USRATE DMTWI DMRATE JAPTWI JAPRATE
AUSTWI 1 .4722 −.0343 .0338 −.0409 .1448 .0188 .0231
AUSRATE   1 −.0067 .0772 .0108 .0061 −.0061 −.0048
USTWI     1 .4197 −.5140 .0134 −.5184 .0073
USRATE       1 −.3247 −.0045 −.2577 −.0143
DMTWI         1 −.0183 .2944 .0156
DMRATE           1 .0083 −.0925
JAPTWI             1 −.0454
JAPRATE               1
Table C4
Correlation Matrix: Post-Float
  AUSTWI AUSRATE USTWI USRATE DMTWI DMRATE JAPTWI JAPRATE
AUSTWI 1 −.1787 −.1910 −.0285 .1460 −.0110 .0532 .0225
AUSRATE   1 .0458 −.0173 −.0127 −.0278 −.0058 .0018
USTWI     1 .2517 −.7937 −.0219 −.2673 −.0496
USRATE       1 −.2019 .0283 −.1382 −.1176
DMTWI         1 −.0298 .0414 .0342
DMRATE           1 .0582 .0620
JAPTWI             1 −.0137
JAPRATE               1
Table C5
Variance Decomposition for AUSTWI: Pre-Float
Days
Ahead
Forecast
Variance
Per cent Due to Innovations In AUSTWI
ROWTWI
Foreign AUSTWI AUSRATE
0 .22 3.0 97.0 1.20
1 .22 6.1 93.9 .0 1.18
2 .23 6.4 91.6 2.0 1.19
3 .23 6.7 91.3 2.0 1.18
4 .24 8.1 88.9 3.0 1.19
5 .25 8.4 87.2 4.4 1.22
6 .25 8.6 86.9 4.5 1.22
7 .25 8.7 86.7 4.6 1.22
8 .25 8.8 86.6 4.6 1.22
9 .25 8.9 86.5 4.6 1.21
10 .25 8.9 86.5 4.6 1.21
15 .25 8.9 86.5 4.6 1.21
20 .25 8.9 86.5 4.6 1.21
30 .25 8.9 86.5 4.6 1.20
Table C6
Variance Decomposition for AUSTWI: Post-Float
Days
Ahead
Forecast
Variance
Per cent Due to Innovations in AUSTWI
ROWTWI
Foreign AUSTWI AUSRATE
0 .74 3.8 96.2 2.44
1 .79 8.9 90.8 .3 2.55
2 .82 12.1 87.4 .5 2.62
3 .83 12.9 86.6 .5 2.59
4 .84 13.3 86.2 .5 2.60
5 .84 13.4 86.1 .5 2.60
6 .84 13.4 86.1 .5 2.60
7 .84 13.4 86.1 .5 2.57
8 .84 13.4 86.1 .5 2.56
9 .84 13.4 86.1 .5 2.55
10 .84 13.4 86.1 .5 2.56
15 .84 13.4 86.1 .5 2.54
20 .84 13.4 86.1 .5 2.53
30 .84 13.4 86.1 .5 2.51
Table C7
Variance Decomposition for AUSRATE: Pre-Float
Days
Ahead
Forecast
Variance
Per cent Due to Innovations in AUSRATE
ROWRATE
Foreign AUSTWI AUSRATE
0 .085 .9 22.5 76.6 2.43
1 .094 4.5 20.3 76.2 2.23
2 .097 6.6 19.8 73.6 2.24
3 .104 7.0 20.0 73.0 2.26
4 .104 7.8 20.5 71.7 2.23
5 .104 8.1 20.5 71.4 2.23
6 .104 8.4 20.4 71.2 2.23
7 .105 8.6 20.4 71.0 2.24
8 .105 8.6 20.4 71.0 2.24
9 .105 8.6 20.4 71.0 2.24
10 .105 8.6 20.4 71.0 2.25
15 .105 8.6 20.4 71.0 2.23
20 .105 8.6 20.4 71.0 2.23
30 .105 8.6 20.4 71.0 2.23
Table C8
Variance Decomposition for AUSRATE: Post-Float
Days
Ahead
Forecast
Variance
Per cent Due to Innovations in AUSRATE
ROWRATE
Foreign AUSTWI AUSRATE
0 .029 .5 3.0 96.5 2.88
1 .030 2.8 2.9 94.3 2.57
2 .030 3.6 3.1 93.3 2.51
3 .031 4.8 3.2 92.0 2.55
4 .031 4.9 3.2 91.9 2.54
5 .031 4.9 3.2 91.9 2.54
6 .031 4.9 3.2 91.9 2.58
7 .031 5.0 3.2 91.8 2.58
8 .031 5.0 3.2 91.8 2.61
9 .031 5.0 3.2 91.8 2.61
10 .031 5.0 3.2 91.8 2.61
15 .031 5.0 3.2 91.8 2.60
20 .031 5.0 3.2 91.8 2.63
30 .031 5.0 3.2 91.8 2.63

Footnote

The data were pre-filtered by the (1–l.5L+.5625L2) transformation. All results refer to these pre-filtered data. The pre-float VAR has seven lags and a linear time trend; the post-float VAR has eight lags and a linear trend. [*]