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RBA Glossary definition for ECM

ECM – Error-correction ratio

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The Baseline ECM

31 Dec 2015 RDP 2015-12
Jonathan Hambur, Lynne Cockerell, Christopher Potter, Penelope Smith and Michelle Wright
RDP 2015-12: Modelling the Australian Dollar 3. The Baseline ECM. Jonathan Hambur, Lynne Cockerell, Christopher Potter, Penelope Smith and Michelle Wright. ... Download the Paper 1.39. MB. The baseline ECM is specified to address the following question:.
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 ... With this purpose in mind, the paper also discusses several
https://www.rba.gov.au/publications/rdp/2015/2015-12.html

Modelling the Australian Dollar

31 Dec 2015 RDP 2015-12
Jonathan Hambur, Lynne Cockerell, Christopher Potter, Penelope Smith and Michelle Wright
Research Discussion Paper – RDP 2015-12 Modelling the Australian Dollar. Jonathan Hambur, Lynne Cockerell, Christopher Potter, Penelope Smith and Michelle Wright. October 2015 – ISSN 1448-5109 (Online). 1.39. MB. The Discussion Paper series is
https://www.rba.gov.au/publications/rdp/2015/2015-12/

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). ... The ECM estimates an ‘equilibrium’ level of the exchange rate based on its historical relationships with
https://www.rba.gov.au/publications/rdp/2015/2015-12/introduction.html

A Markov-switching Model

31 Dec 2015 RDP 2015-12
Jonathan Hambur, Lynne Cockerell, Christopher Potter, Penelope Smith and Michelle Wright
As in the case of the rolling ECM, the long-run cointegrating relationship is held constant; with parameter estimates obtained using DOLS. ... In line with common recent practice, the ECM is estimated using Bayesian techniques, as outlined in Kim and
https://www.rba.gov.au/publications/rdp/2015/2015-12/a-markov-switching-model.html

Appendix B: Markov-switching Model Output

31 Dec 2015 RDP 2015-12
Jonathan Hambur, Lynne Cockerell, Christopher Potter, Penelope Smith and Michelle Wright
Download the Paper 1.39. MB. Table B1: Markov-switching ECM. Parameter. State.
https://www.rba.gov.au/publications/rdp/2015/2015-12/appendix-b.html

Incorporating Australia's Resources Boom

31 Dec 2015 RDP 2015-12
Jonathan Hambur, Lynne Cockerell, Christopher Potter, Penelope Smith and Michelle Wright
At the same time, the coefficient on the ToT is lower in both models (relative to the baseline ECM). ... The estimated equilibrium terms from these models are fairly similar to the estimated equilibrium term from the baseline ECM (Figures 9 and 10).
https://www.rba.gov.au/publications/rdp/2015/2015-12/incorporating-australia-resources-boom.html

Literature Review

31 Dec 2015 RDP 2015-12
Jonathan Hambur, Lynne Cockerell, Christopher Potter, Penelope Smith and Michelle Wright
This review will focus on the strand of literature that uses macroeconomic models of exchange rates, as the baseline ECM – which is set out below in Section 3 – fits within this
https://www.rba.gov.au/publications/rdp/2015/2015-12/literature-review.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.
https://www.rba.gov.au/publications/rdp/2015/2015-12/incorporating-unconventional-monetary-policy.html