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An Empirical Model of Australian Interest Rates, Exchange Rates and Monetary Policy
1 Nov 1990
RDP
9009
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/1990/9009.html
Introduction
1 Nov 1990
RDP
9009
For example, if nominal interest rates increase because inflation is expected to increase, the exchange rate will probably depreciate, contrary to the predictions of the portfolio balance model. ... Using this model, we can then examine the effects of
https://www.rba.gov.au/publications/rdp/1990/9009/introduction.html
An Empirical Model of Australian Interest Rates, Exchange Rates and Monetary Policy
1 Nov 1990
RDP
9009
Research Discussion Paper – RDP 9009 An Empirical Model of Australian Interest Rates, Exchange Rates and Monetary Policy.
https://www.rba.gov.au/publications/rdp/1990/9009/
Conclusions
1 Nov 1990
RDP
9009
RDP 9009: An Empirical Model of Australian Interest Rates, Exchange Rates and Monetary Policy 5. ... interest rates, and the $A/$US exchange rate. On the basis of the evidence uncovered by this model, we make the following conclusions:.
https://www.rba.gov.au/publications/rdp/1990/9009/conclusions.html
Appendix: Confidence Intervals
1 Nov 1990
RDP
9009
RDP 9009: An Empirical Model of Australian Interest Rates, Exchange Rates and Monetary Policy Appendix: Confidence Intervals. ... Figure A.1: Federal funds rate shock. Figure A.2: U.S. bond rate shock.
https://www.rba.gov.au/publications/rdp/1990/9009/appendix.html
Some Stylized Facts
1 Nov 1990
RDP
9009
RDP 9009: An Empirical Model of Australian Interest Rates, Exchange Rates and Monetary Policy 2. ... sufficient to let rates on overnight cash reach their new, higher, desired level.
https://www.rba.gov.au/publications/rdp/1990/9009/some-stylized-facts.html
The VAR Method
1 Nov 1990
RDP
9009
10 year bond rate affect Australian interest rates and the $A/$US exchange rate contemporaneously, but not vice versa. ... Domestic interest rates are recorded at 11 a.m., the federal funds rate and U.S.
https://www.rba.gov.au/publications/rdp/1990/9009/var-method.html
References
1 Nov 1990
RDP
9009
RDP 9009: An Empirical Model of Australian Interest Rates, Exchange Rates and Monetary Policy References. ... Macfarlane, I.J. and W.J. Tease (1989, “Capital Flows and Exchange Rate Determination”, Reserve Bank of Australia Research Discussion Paper
https://www.rba.gov.au/publications/rdp/1990/9009/references.html
Results
1 Nov 1990
RDP
9009
RDP 9009: An Empirical Model of Australian Interest Rates, Exchange Rates and Monetary Policy 4. ... This is consistent with the sustained increase in the cash rate that results from this shock since, due to the arbitrage of domestic and foreign asset
https://www.rba.gov.au/publications/rdp/1990/9009/results.html