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Australia's Real Exchange Rate – Is it Explained by the Terms of Trade or by Real Interest Differentials?

1 Sep 1991 RDP 9108
David W.R. Gruen and Jenny Wilkinson
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/1991/9108.html

Australia's Real Exchange Rate – Is it Explained by the Terms of Trade or by Real Interest Differentials?

1 Sep 1991 RDP 9108
David W. R. Gruen and Jenny Wilkinson
https://www.rba.gov.au/publications/rdp/1991/9108/

Appendix

1 Sep 1991 RDP 9108
David W.R. Gruen and Jenny Wilkinson
RDP 9108: Australia's Real Exchange Rate – Is it Explained by the Terms of Trade or by Real Interest Differentials?
https://www.rba.gov.au/publications/rdp/1991/9108/appendix.html

Methodology

1 Sep 1991 RDP 9108
David W.R. Gruen and Jenny Wilkinson
where. s. t. is the nominal exchange rate (foreign currency price of domestic currency), p. ... Using the Phillips-Hansen estimation, we also apply Park's H(p,q) test for cointegration (Park (1988)).
https://www.rba.gov.au/publications/rdp/1991/9108/methodology.html

The Stylised Facts

1 Sep 1991 RDP 9108
David W.R. Gruen and Jenny Wilkinson
RDP 9108: Australia's Real Exchange Rate – Is it Explained by the Terms of Trade or by Real Interest Differentials? ... We have taken considerable care to construct an accurate measure of Australia's real exchange rate.
https://www.rba.gov.au/publications/rdp/1991/9108/stylised-facts.html

Introduction

1 Sep 1991 RDP 9108
David W.R. Gruen and Jenny Wilkinson
RDP 9108: Australia's Real Exchange Rate – Is it Explained by the Terms of Trade or by Real Interest Differentials? ... Download the Paper 531. KB. As part of the deregulation of Australia's financial markets, the Australian dollar was floated in
https://www.rba.gov.au/publications/rdp/1991/9108/introduction.html

Discussion and Conclusions

1 Sep 1991 RDP 9108
David W.R. Gruen and Jenny Wilkinson
RDP 9108: Australia's Real Exchange Rate – Is it Explained by the Terms of Trade or by Real Interest Differentials? ... Empirically however, the link from a country's net foreign asset position to its real exchange rate appears to be a weak one.
https://www.rba.gov.au/publications/rdp/1991/9108/discussion-and-conclusions.html

References

1 Sep 1991 RDP 9108
David W.R. Gruen and Jenny Wilkinson
Blinder, A.S. (1988), “The Fall and Rise of Keynesian Economics”, The Economic Record, 64: 278–294. ... Johansen, S. (1988), “Statistical Analysis of Cointegration Vectors”, Journal of Economic Dynamics and Control, 12: 231–54.
https://www.rba.gov.au/publications/rdp/1991/9108/references.html

Data Appendix

1 Sep 1991 RDP 9108
David W.R. Gruen and Jenny Wilkinson
RDP 9108: Australia's Real Exchange Rate – Is it Explained by the Terms of Trade or by Real Interest Differentials? ... Exchange rate data for Hong Kong is collected from the International Department's Dealing Room, Reserve Bank of Australia (RBA).
https://www.rba.gov.au/publications/rdp/1991/9108/data-appendix.html

Results

1 Sep 1991 RDP 9108
David W.R. Gruen and Jenny Wilkinson
RDP 9108: Australia's Real Exchange Rate – Is it Explained by the Terms of Trade or by Real Interest Differentials? ... In this paper we are attempting to explain long run movements in the level of Australia's real exchange rate especially over the
https://www.rba.gov.au/publications/rdp/1991/9108/results.html