RDP 9201: The Impact of Real and Nominal Shocks on Australian Real Exchange Rates Appendix

Philip Lowe

January 1992

The following tables provide point estimates of the elements of A{j} for selected lags together with “bootstrap standard deviations”.

EFFECT OF REAL SHOCK ON:
  Real Exchange Rate Australian Unemployment Japanese Unemployment
j Inline Equation S.D. A21(j) S.D. A31(j) S.D.
0 0.0256 0.0072 −0.1314 0.0743 −0.0121 0.0450
1 0.0224 0.0072 −0.1320 0.0584 −0.0249 0.0205
2 0.0276 0.0075 −0.1192 0.0728 −0.0218 0.0221
6 0.0325 0.0081 −0.1932 0.1041 −0.0376 0.0235
12 0.0386 0.0100 −0.1926 0.1246 −0.0464 0.0231
24 0.0427 0.0121 −0.1224 0.0703 −0.0353 0.0181
60 0.0438 0.0140 −0.0248 0.0158 −0.0100 0.0033
150 0.0423 0.0131 −0.0018 0.0150 −0.0006 0.0004
EFFECT OF AUSTRALIAN NOMINAL SHOCK ON:
  Real Exchange Rate Australian Unemployment Japanese Unemployment
j Inline Equation S.D. A22(j) S.D. A32(j) S.D.
0 −0.0179 0.0095 −0.1193 0.0581 −0.0000 0.0000
1 −0.0225 0.0095 −0.1225 0.0344 0.0148 0.0091
2 −0.0238 0.0090 −0.1318 0.0386 0.0173 0.0089
6 −0.0193 0.0087 −0.1563 0.0517 −0.0014 0.0113
12 −0.0194 0.0087 −0.1748 0.0548 −0.0081 0.0111
24 −0.0046 0.0070 −0.0838 0.0345 −0.0146 0.0086
60 0.0009 0.0017 −0.0065 0.0121 −0.0030 0.0024
150 0.0000 0.0000 −0.0008 0.0010 −0.0002 0.0003
EFFECT OF FOREIGN NOMINAL SHOCK ON:
  Real Exchange Rate Australian Unemployment Japanese Unemployment
j Inline Equation S.D. A23(j) S.D. A33(j) S.D.
0 −0.0059 0.0108 0.0312 0.0771 −0.0730 0.0161
1 −0.0047 0.0105 −0.0211 0.0468 −0.0541 0.0102
2 −0.0023 0.0104 0.0017 0.0571 −0.0217 0.0103
6 −0.0115 0.0104 −0.0488 0.0747 −0.0311 0.0129
12 0.0024 0.0091 −0.1382 0.0777 −0.0149 0.0133
24 −0.0039 0.0084 −0.1027 0.0403 −0.0232 0.0105
60 −0.0099 0.0019 −0.0146 0.0152 −0.0075 0.0037
150 −0.0006 0.0000 −0.0013 0.0011 −0.0004 0.0003
EFFECT OF REAL SHOCK ON:
  Real Exchange Rate Australian Unemployment USA Unemployment
j Inline Equation S.D. A21(j) S.D. A31(j) S.D.
0 0.0156 0.0057 0.1355 0.0624 0.0253 0.0741
1 0.0186 0.0061 0.1222 0.0417 0.0397 0.0531
2 0.0218 0.0062 0.1188 0.0472 0.0195 0.0572
6 0.0128 0.0060 0.1296 0.0584 −0.0216 0.0631
12 0.0242 0.0072 0.0829 0.0594 −0.1087 0.0786
24 0.0237 0.0089 −0.0656 0.0577 −0.1777 0.0898
60 0.0337 0.0159 −0.0916 0.0440 −0.0296 0.0409
150 0.0281 0.0173 0.0115 0.0160 −0.0097 0.0182
EFFECT OF AUSTRALIAN NOMINAL SHOCK ON:
  Real Exchange Rate Australian Unemployment USA Unemployment
j Inline Equation S.D. A22(j) S.D. A32(j) S.D.
0 −0.0205 0.0067 0.1209 0.0566 0.0000 0.0000
1 −0.0194 0.0066 0.0871 0.0394 −0.0076 0.0204
2 −0.0210 0.0068 0.0952 0.0387 0.0008 0.0244
6 −0.0177 0.0057 0.1398 0.0458 −0.0074 0.0375
12 −0.0129 0.0064 0.1091 0.0440 −0.0931 0.0624
24 −0.0039 0.0054 −0.0311 0.0378 −0.1774 0.0590
60 0.0056 0.0032 −0.1063 0.0282 −0.0503 0.0202
150 0.0000 0.0000 0.0166 0.0108 −0.0066 0.0144
EFFECT OF FOREIGN NOMINAL SHOCK ON:
  Real Exchange Rate Australian Unemployment USA Unemployment
j Inline Equation S.D. A23(j) S.D. A33(j) S.D.
0 0.0012 0.0061 −0.0119 0.0553 −0.1567 0.0234
1 0.0025 0.0060 −0.0392 0.0379 −0.1390 0.0222
2 0.0015 0.0060 −0.0393 0.0380 −0.1461 0.0234
6 0.0044 0.0051 −0.1176 0.0450 −0.1802 0.0291
12 0.0033 0.0052 −0.1388 0.0349 −0.1616 0.0471
24 0.0034 0.0038 −0.1190 0.0315 −0.0469 0.0547
60 0.0027 0.0026 0.0075 0.0298 0.0583 0.0232
150 0.0000 0.0000 −0.0122 0.0105 −0.0158 0.0094