RDP 8711: Deviations from Purchasing Power Parity: The Australian Case Appendix A Data and Detailed Results
September 1987
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Data used in the empirical analysis includes:
quarterly and monthly data for Australia's real effective exchange rate from 1970 to March 1987 in index form (1980-Q2 = 100), from Morgan Guaranty World Financial Markets. It is calculated as the nominal effective exchange rate adjusted for differential inflation measured by the wholesale manufacturing price index – a series which is partially estimated;
- end of quarter data for the bilateral exchange rate between the Australian and U.S. dollars;
- quarterly terms of trade data from March 1970 to March 1987 calculated as the unit value of exports divided by the unit value of imports; and
- monthly data for the Reserve Bank's rural commodity price index from July 1984 to March 1987. These last three series are from the Reserve Bank of Australia's research database.
lag length (n) | test-statistics for using real US$/$A rate | test-statistics for using real US$/$A rate and the terms of trade | |||||||
---|---|---|---|---|---|---|---|---|---|
Uncorrected model | Corrected model | ||||||||
Significant coefficients | F | Marginal significance less than | Significant coefficients | F | Marginal significance less than | Significant coefficients | Wald | Marginal significance less than | |
March 1070 – March 1067 | |||||||||
2 | None | 0.03 | 0.01^{(A)} | None | 0.65 | 0.34^{(A)} | |||
4 | None | 0.29 | O.0B^{(A)} | None | 0.58 | 0.19^{(A)} | |||
6 | None | 0.35 | 0.07^{(A)} | None | 0.69 | 0.24^{(A)} | |||
March 1970 – December 1983 | |||||||||
2 | None | 0.26 | 0.15^{(A)} | None | 1.02 | 0.59^{(A)} | |||
4 | None | 0.31 | 0.09^{(A)} | None | 0.75 | 0.34^{(A)} | |||
6 | None | 0.34 | 0.07^{(A)} | None | 0.63 | 0.18^{(A)} | |||
March 1934 – March 1987 | |||||||||
2 | None | 0.32 | 0.19^{(A)} | None | 0.21 | 0.05^{(A)} | None | 4.83 | 0.56^{(A)} |
4 | None | 0.73 | 0.3B^{(A)} | None | 0.35 | 0.9^{(A)} | None | 30.91 | 0.999^{(R)} |
Note |
lag length (n) | test-statistics for using real US$/$A rate | test-statistics for using real US$/$A rate and the terms of trade | |||||||
---|---|---|---|---|---|---|---|---|---|
Uncorrected model | Corrected model | ||||||||
Significant coefficients | F | Marginal significance less than | Significant coefficients | F | Marginal significance less than | Significant coefficients | Wald | Marginal significance less than | |
March 1970 – March 1987 | |||||||||
2 | None | 0.35 | 0.21^{(A)} | None | 1.28 | 0.72^{(A)} | |||
4 | y_{t−3} | 2.01 | 0.91^{(A)} | ^{y}t−3^{} | 1.66 | 0.88^{(A)} | |||
6 | y_{t−3} | 1.76 | 0.89^{(A)} | None | 1.20 | 0.69^{(A)} | |||
March 1970 – December 1983 | |||||||||
2 | None | 0.07 | 0.03^{(A)} | None | 0.6S | 0.34^{(A)} | |||
4 | None | 0.23 | 0.05^{(A)} | None | 0.SO | 0.24^{(A)} | |||
6 | None | 0.18 | 0.01^{(A)} | None | 0.34 | 0.02^{(A)} | |||
March 1984 – March 1987 | |||||||||
2 | None | 0.80 | 0.48^{(A)} | None | 1.61 | 0.74^{(A)} | X_{t−2} | 39.57 | 0.999^{(R)} |
4 | None | 1.21 | 0.61^{(A)} | None | 1.51 | 0.63^{(A)} | None | 210.84 | 0.999^{(R)} |
Note |
lag length (n) | test-statistics for using real US$/$A rate | ||
---|---|---|---|
Significant coefficients | F | Marginal significance less than | |
6 | y_{t–1} | 2.94 | 0.994^{(R)} |
12 | y_{t–1} | 1.76 | 0.94^{(A)} |
18 | y_{t–1} | 1.76 | 0.96^{(A)} |
lag length (n) | test-statistics for using real US$/$A rate and the terms of trade | ||
---|---|---|---|
Significant coefficients | F | Marginal significance less than | |
6 | None | 0.57 | 0.22^{(A)} |
12 | None | 0.52 | 0.10^{(A)} |
18 | None | 0.59 | 0.10^{(A)} |
Note |
lag length (n) | test-statistics for using real US$/$A rate | test-statistics for using real US$/$A rate and the terms of trade | |||||||
---|---|---|---|---|---|---|---|---|---|
Uncorrected model | Corrected model | ||||||||
Significant coefficients | F | Marginal significance less than | Significant coefficients | F | Marginal significance less than | Significant coefficients | Wald | Marginal significance less than | |
6 | y_{t−3} | 1.90 | 0.90^{(A)} | x_{t−1} | 2.03 | 0.69^{(A)} | x_{t−1} x_{t−5} y_{t−1} y_{t−6} |
62.51 | 0.999^{(R)} |
12 | None | 0.94 | 0.48^{(A)} | ||||||
16 | None | 0.96 | 0.47^{(A)} | ||||||
Note |
Model | Lags (months) |
Prob > Chi-Square | ||
---|---|---|---|---|
1970-Mar'87 | 1970-Dec'83 | 1984-Mar'87 | ||
effective(gly) without TOT | 6 | 0.49 | 0.80 | 0.24 |
12 | 0.37 | 0.60 | 0.26 | |
18 | 0.63 | 0.87 | – | |
with TOT | 6 | 0.74 | 0.98 | 0.10 |
12 | 0.71 | 0.77 | 0.0001 | |
18 | 0.73 | 0.82 | ||
US bilateral (gly) without TOT | 6 | 0.32 | 0.22 | 0.18 |
12 | 0.61 | 0.37 | 0.05 | |
18 | 0.61 | 0.64 | – | |
with TOT | 6 | 0.64 | 0.37 | 0.01 |
12 | 0.62 | 0.64 | 0.0001 | |
18 | 0.22 | 0.74 | ||
effective (mthly) without commodity prices | 6 | 0.18 | 0.52 | 0.18 |
12 | 0.09 | 0.82 | 0.19 | |
IB | 0.27 | 0.82 | 0.32 | |
with commodity prices | 6 | – | – | 0.0007 |
Note: Under Ho. it is assumed that the errors are independent of the regressors and that the model is correctly specified. The null hypothesis is rejected when the marginal significance level is less than that desired (e.g. 0.01, 0.05). |
Model | Lags (months) |
1970-Mar'87 | Prob > F 1970-Dec'83 |
1984-Mar'87 |
---|---|---|---|---|
effective (gly) without TOT | 6 | 0.02 | 0.49 | 0.13 |
12 | 0.20 | 0.03 | 0.38 | |
18 | 0.02 | 0.09 | 0.20 | |
with TOT | 6 | 0.54 | 0.06 | 0.16 |
12 | 0.26 | 0.94 | 0.35 | |
18 | 0.62 | 0.62 | – | |
US bilateral (gly) without TOT | 6 | 0.27 | 0.71 | 0.49 |
12 | 0.92 | 0.66 | 0.38 | |
18 | 0.08 | 0.23 | 0.57 | |
with TOT | 6 | 0.73 | 0.48 | 0.27 |
12 | 0.75 | 0.36 | 0.42 | |
18 | 1.00 | 0.62 | – | |
effective (mtly) without commodity prices | 6 | 0.01 | 0.42 | 0.02 |
12 | 0.06 | 0.07 | 0.31 | |
18 | 0.77 | 0.93 | 0.86 | |
with commodity prices | 6 | – | – | 0.012 |
Note: The null hypothesis is rejected when the marginal significance level is less than that desired (e.g. 0.01, 0.05). |