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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/

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? ... In a world with deregulated financial flows, it is consistent both with sticky-price monetary models such as the Dornbusch (1976)
https://www.rba.gov.au/publications/rdp/1991/9108/introduction.html

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? ... where ε. t. has an ARMA(l,m) distribution. If β < 1, the series is stationary, while if β = 1, it is non-stationary (integrated
https://www.rba.gov.au/publications/rdp/1991/9108/appendix.html

References

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? ... Meese, R. and K. Rogoff (1988), “Was It Real? The Exchange Rate-Interest Differential Relation over the Modern Floating-Rate
https://www.rba.gov.au/publications/rdp/1991/9108/references.html

Methodology

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? ... This has the advantage of being straightforward to apply, relying as it does on single equation OLS estimation.
https://www.rba.gov.au/publications/rdp/1991/9108/methodology.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?
https://www.rba.gov.au/publications/rdp/1991/9108/data-appendix.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? ... Secondly, although in proportionate terms the real exchange rate fell more than the terms of trade between early 1984 and mid-1986,
https://www.rba.gov.au/publications/rdp/1991/9108/stylised-facts.html

Results

1 Sep 1991 RDP 9108
David W.R. Gruen and Jenny Wilkinson
Over the post-float period, we tentatively conclude that it has 1 unit root. ... It is encouraging that, with one exception, the transformed coefficient estimates are all of the expected sign.
https://www.rba.gov.au/publications/rdp/1991/9108/results.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? ... Hence, it may prove difficult to isolate the effect of the cumulated current account deficit on the real exchange rate for Australia
https://www.rba.gov.au/publications/rdp/1991/9108/discussion-and-conclusions.html