Appendix C: Sims Filtered Data | RDP 8608: Exchange Rate Regimes and the Volatility, of Financial Prices: The Australian Case

RDP 8608: Exchange Rate Regimes and the Volatility, of Financial Prices: The Australian Case Appendix C: Sims Filtered Data

Robert G. Trevor and Stephen G. Donald

July 1986

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SIMS FILTERED SERIES^[*]

Table C1
Granger-Causality Test Results: Pre-Float
(Marginal Significance Levels)
Equation	Explanatory Variable
Equation	AUSTWI	AUSRATE	USTWI	USRATE	DMTWI	DMRATE	JAPTWI	JAPRATE	FOREIGN
AUSTWI	–	.0003	.4545	.2913	.3854	.9112	.9891	.1991	.4829
AUSTRATE	.0761	–	.2045	.5343	.2715	.7864	.9268	.2142	.1512
USTVI	.3798	.9779	–	.4115	.0975	.3109	.3281	.1268	–
USRATE	.3853	.4838	.0394	–	.7306	.7641	.2878	.2529	–
DMTWI	.0448	.0404	.5940	.9736	–	.1022	.9856	.0595	–
DMRATE	.0372	.6824	.1923	.1512	.0220	–	.1088	.6048	–
JAPTWI	.8548	.9147	.1143	.2582	.6842	.3562	–	.4832	–
JAPRATE	.8274	.2066	.4032	.2862	.9272	.0141	.5577	–	–

Table C2
Granger-Causality Test Results: Post-Float
(Marginal Significance Levels)
Equation	Explanatory Variable
Equation	AUSTWI	AUSRATE	USTWI	USRATE	DMTWI	DMRATE	JAPTWI	JAPRATE	FOREIGN
AUSTWI	–	.4475	.0001	.2851	.0102	.1171	.0638	.6729	.0006
AUSRATE	.6303	–	.6474	.4540	.8884	.2486	.9650	.2355	.4338
USTWI	.0744	.4043	–	.2378	.6077	.5418	.7565	.7378	–
USRATE	.9808	.8647	.6652	–	.4852	.1573	.8322	.8566	–
DMTWI	.0713	.1005	.0001	.2362	–	.1186	.0003	.5523	–
DMRATE	.7059	.7406	.0631	.0155	.1132	–	.8564	.0001	–
JAPTWI	.8041	.3148	.0354	.4969	.3715	.6780	–	.8584	–
JAPRATE	.8309	.9295	.0190	.3149	.0334	.2885	.1880	–	–

Table C3
Correlation Matrix: Pre-Float
	AUSTWI	AUSRATE	USTWI	USRATE	DMTWI	DMRATE	JAPTWI	JAPRATE
AUSTWI	1	.4722	−.0343	.0338	−.0409	.1448	.0188	.0231
AUSRATE		1	−.0067	.0772	.0108	.0061	−.0061	−.0048
USTWI			1	.4197	−.5140	.0134	−.5184	.0073
USRATE				1	−.3247	−.0045	−.2577	−.0143
DMTWI					1	−.0183	.2944	.0156
DMRATE						1	.0083	−.0925
JAPTWI							1	−.0454
JAPRATE								1

Table C4
Correlation Matrix: Post-Float
	AUSTWI	AUSRATE	USTWI	USRATE	DMTWI	DMRATE	JAPTWI	JAPRATE
AUSTWI	1	−.1787	−.1910	−.0285	.1460	−.0110	.0532	.0225
AUSRATE		1	.0458	−.0173	−.0127	−.0278	−.0058	.0018
USTWI			1	.2517	−.7937	−.0219	−.2673	−.0496
USRATE				1	−.2019	.0283	−.1382	−.1176
DMTWI					1	−.0298	.0414	.0342
DMRATE						1	.0582	.0620
JAPTWI							1	−.0137
JAPRATE								1

Table C5
Variance Decomposition for AUSTWI: Pre-Float
Days Ahead	Forecast Variance	Per cent Due to Innovations In			AUSTWI ROWTWI
Days Ahead	Forecast Variance	Foreign	AUSTWI	AUSRATE	AUSTWI ROWTWI
0	.22	3.0	97.0	–	1.20
1	.22	6.1	93.9	.0	1.18
2	.23	6.4	91.6	2.0	1.19
3	.23	6.7	91.3	2.0	1.18
4	.24	8.1	88.9	3.0	1.19
5	.25	8.4	87.2	4.4	1.22
6	.25	8.6	86.9	4.5	1.22
7	.25	8.7	86.7	4.6	1.22
8	.25	8.8	86.6	4.6	1.22
9	.25	8.9	86.5	4.6	1.21
10	.25	8.9	86.5	4.6	1.21
15	.25	8.9	86.5	4.6	1.21
20	.25	8.9	86.5	4.6	1.21
30	.25	8.9	86.5	4.6	1.20

Table C6
Variance Decomposition for AUSTWI: Post-Float
Days Ahead	Forecast Variance	Per cent Due to Innovations in			AUSTWI ROWTWI
Days Ahead	Forecast Variance	Foreign	AUSTWI	AUSRATE	AUSTWI ROWTWI
0	.74	3.8	96.2	–	2.44
1	.79	8.9	90.8	.3	2.55
2	.82	12.1	87.4	.5	2.62
3	.83	12.9	86.6	.5	2.59
4	.84	13.3	86.2	.5	2.60
5	.84	13.4	86.1	.5	2.60
6	.84	13.4	86.1	.5	2.60
7	.84	13.4	86.1	.5	2.57
8	.84	13.4	86.1	.5	2.56
9	.84	13.4	86.1	.5	2.55
10	.84	13.4	86.1	.5	2.56
15	.84	13.4	86.1	.5	2.54
20	.84	13.4	86.1	.5	2.53
30	.84	13.4	86.1	.5	2.51

Table C7
Variance Decomposition for AUSRATE: Pre-Float
Days Ahead	Forecast Variance	Per cent Due to Innovations in			AUSRATE ROWRATE
Days Ahead	Forecast Variance	Foreign	AUSTWI	AUSRATE	AUSRATE ROWRATE
0	.085	.9	22.5	76.6	2.43
1	.094	4.5	20.3	76.2	2.23
2	.097	6.6	19.8	73.6	2.24
3	.104	7.0	20.0	73.0	2.26
4	.104	7.8	20.5	71.7	2.23
5	.104	8.1	20.5	71.4	2.23
6	.104	8.4	20.4	71.2	2.23
7	.105	8.6	20.4	71.0	2.24
8	.105	8.6	20.4	71.0	2.24
9	.105	8.6	20.4	71.0	2.24
10	.105	8.6	20.4	71.0	2.25
15	.105	8.6	20.4	71.0	2.23
20	.105	8.6	20.4	71.0	2.23
30	.105	8.6	20.4	71.0	2.23

Table C8
Variance Decomposition for AUSRATE: Post-Float
Days Ahead	Forecast Variance	Per cent Due to Innovations in			AUSRATE ROWRATE
Days Ahead	Forecast Variance	Foreign	AUSTWI	AUSRATE	AUSRATE ROWRATE
0	.029	.5	3.0	96.5	2.88
1	.030	2.8	2.9	94.3	2.57
2	.030	3.6	3.1	93.3	2.51
3	.031	4.8	3.2	92.0	2.55
4	.031	4.9	3.2	91.9	2.54
5	.031	4.9	3.2	91.9	2.54
6	.031	4.9	3.2	91.9	2.58
7	.031	5.0	3.2	91.8	2.58
8	.031	5.0	3.2	91.8	2.61
9	.031	5.0	3.2	91.8	2.61
10	.031	5.0	3.2	91.8	2.61
15	.031	5.0	3.2	91.8	2.60
20	.031	5.0	3.2	91.8	2.63
30	.031	5.0	3.2	91.8	2.63

Footnote

The data were pre-filtered by the (1–l.5L+.5625L²) transformation. All results refer to these pre-filtered data. The pre-float VAR has seven lags and a linear time trend; the post-float VAR has eight lags and a linear trend. [*]

RDP 8608: Exchange Rate Regimes and the Volatility, of Financial Prices: The Australian Case Appendix C: Sims Filtered Data

SIMS FILTERED SERIES[*]

Footnote

SIMS FILTERED SERIES^[*]