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RBA Glossary definition for RTWI

RTWI – Real Australian TWI

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The Baseline ECM

31 Dec 2015 RDP 2015-12
Jonathan Hambur, Lynne Cockerell, Christopher Potter, Penelope Smith and Michelle Wright
is likely to be a more robust positive relationship between the RTWI and the ToT. ... level. Table 1: Baseline RTWI Model. 1986:Q2–2014:Q4. Variables. Constant (μ). 0.41. (0.11).
https://www.rba.gov.au/publications/rdp/2015/2015-12/the-baseline-ecm.html

Modelling the Australian Dollar

8 Oct 2015 RDP 2015-12
Jonathan Hambur, Lynne Cockerell, Christopher Potter, Penelope Smith and Michelle Wright
This paper outlines an error correction model (ECM) of the Australian dollar real trade-weighted index (RTWI), which is one of the approaches used by Reserve Bank staff as a starting ... Overall, these extensions provide little evidence that the
https://www.rba.gov.au/publications/rdp/2015/2015-12.html

Introduction

31 Dec 2015 RDP 2015-12
Jonathan Hambur, Lynne Cockerell, Christopher Potter, Penelope Smith and Michelle Wright
Against this background, this paper describes an error correction model (ECM) of the Australian dollar real trade-weighted index (RTWI). ... Nevertheless, the RTWI has on occasion displayed large and/or persistent divergences from the model-implied
https://www.rba.gov.au/publications/rdp/2015/2015-12/introduction.html

Incorporating Australia's Resources Boom

31 Dec 2015 RDP 2015-12
Jonathan Hambur, Lynne Cockerell, Christopher Potter, Penelope Smith and Michelle Wright
In particular, it tracks the RTWI more closely in 2008 and since 2013. ... the direct effect on domestic demand, relative prices and the RTWI could be relatively limited.
https://www.rba.gov.au/publications/rdp/2015/2015-12/incorporating-australia-resources-boom.html

A Markov-switching Model

31 Dec 2015 RDP 2015-12
Jonathan Hambur, Lynne Cockerell, Christopher Potter, Penelope Smith and Michelle Wright
t. = 1) is above 50 per cent (Figure 4). However, these episodes are short-lived and appear to be fitting outlying observations – where the RTWI has fallen by a large amount ... Neither the rolling ECM nor the Markov-switching model find conclusive
https://www.rba.gov.au/publications/rdp/2015/2015-12/a-markov-switching-model.html

Incorporating Unconventional Monetary Policy

31 Dec 2015 RDP 2015-12
Jonathan Hambur, Lynne Cockerell, Christopher Potter, Penelope Smith and Michelle Wright
However, the baseline ECM of the RTWI is unlikely to adequately capture these dynamics. ... Neither the level of, nor the change in, foreign holdings of AGS were found to be significant determinants of the RTWI.
https://www.rba.gov.au/publications/rdp/2015/2015-12/incorporating-unconventional-monetary-policy.html

Appendix A: Out-of-sample Forecasting

31 Dec 2015 RDP 2015-12
Jonathan Hambur, Lynne Cockerell, Christopher Potter, Penelope Smith and Michelle Wright
Download the Paper 1.39. MB. In assessing the models' out-of-sample performance, actual realised values of the explanatory variables are used to construct forecasts of the RTWI at different ... horizons. Test statistics are then constructed by comparing
https://www.rba.gov.au/publications/rdp/2015/2015-12/appendix-a.html