RDP 9111: Monthly Movements in the Australian Dollar and Real Short-Term Interest Differentials: An Application of the Kalman Filter
Equation (8a)
7.
δ
t
=
(
β
−
1
)
E
t
[
d
t,t
+
1
]
MathType@MTEF@5@5@+= feaagKart1ev2aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn hiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr 4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq=Jc9 vqaqpepm0xbba9pwe9Q8fs0=yqaqpepae9pg0FirpepeKkFr0xfr=x fr=xb9adbaqaaeGaciGaaiaabeqaamaabaabaaGcbaqbaeaabeGaaa qaaiaaiEdacaGGUaaabaGaeqiTdq2aaSbaaSqaaiaabshaaeqaaOGa eyypa0Jaaiikaiabek7aIjabgkHiTiaaigdacaGGPaGaaeyramaaBa aaleaacaqG0baabeaakiaacUfacaqGKbWaaSbaaSqaaiaabshacaqG SaGaaeiDaiabgUcaRiaaigdaaeqaaOGaaiyxaaaaaaa@48FB@