RDP 9108: Australia's Real Exchange Rate – Is it Explained by the Terms of Trade or by Real Interest Differentials? References

Ball, L. (1991), “The Genesis of Inflation and the Costs of Disinflation”, NBER Working Paper 3621.

Blinder, A.S. (1988), “The Fall and Rise of Keynesian Economics”, The Economic Record, 64: 278–294.

Blundell-Wignall, A. and F. Browne (1991), “Increasing Financial Market Integration, Real Exchange Rates and Macroeconomic Adjustment”, OECD Economics and Statistics Department Working Paper No. 96.

Blundell-Wignall, A. and R.G. Gregory (1990), “Exchange Rate Policy in Advanced Commodity-Exporting Countries: The Case of Australia and New Zealand”, OECD Economics and Statistics Department Working Paper No. 83.

Blundell-Wignall, A. and M. Thomas (1987), “Deviations from Purchasing Power Parity: The Australian Case”, Reserve Bank of Australia, Research Discussion Paper 8711.

Branson, W.H. (1979), “Exchange Rate Dynamics and Monetary Policy”, Inflation and Employment in Open Economies, ed. Assar Lindbeck (North-Holland), Chapter 8.

Broadbent, J. (1991), “The Australian Dollar: Is There an Equilibrium Exchange Rate?”, manuscript, Reserve Bank of Australia.

Campbell, J.Y. and R.H. Clarida (1987), “The Dollar and Real Interest Rates”, Carnegie-Rochester Conference Series on Public Policy, 27: 103–140.

Clements, M.P. (1989), “The Estimation and Testing of Cointegrating Vectors: A Survey of Recent Approaches and an Application to the U.K. Non-Durable Consumption Function”, Applied Economics Discussion Paper No. 79, University of Oxford.

Corbae, D. and S. Ouliaris (1991), “A Test of Long-run Purchasing Power Parity Allowing for Structural Breaks”, The Economic Record, 67: 26–33.

Dickey, D.A. and W. Fuller (1979), “Distribution of the Estimators for an Autoregressive Time Series with a Unit Root”, Journal of the American Statistical Association, 74:427–431.

Dickey, D.A. and S. Pantula (1987), “Determining the Order of Differencing in Autoregressive Processes”, Journal of Business and Economics Statistics, 15:455–461.

Dornbusch, R. (1976), “Expectations and Exchange Rate Dynamics”, Journal of Political Economy, 84: 1161–74.

Dornbusch, R. (1988), “Real Exchange Rates and Macroeconomics: A Selective Survey”, NBER Working Paper 2775.

Dornbusch, R. and S. Fischer (1980), “Exchange Rates and the Current Account”, American Economic Review, 70:960–971.

Dornbusch, R. and J. Frankel (1987), “The Flexible Exchange Rate System: Experience and Alternatives”, NBER Working Paper 2464.

Dwyer, J. (1987), “Real Effective Exchange Rates as Indicators of Competitiveness”, paper presented to the 16th Conference of Economists, Economics Society of Australia, 23–27 August.

Engle, R. and C. Granger (1987), “Cointegration and Error Correction Representation, Estimation and Testing”, Econometrica, 55(2): 251–276.

Frankel, J.A. (1979), “On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials”, American Economic Review, 69: 610–22.

Frankel, J.A. and R. Meese (1987), “Are Exchange Rates Excessively Variable?”, NBER Macroeconomics Annual, 117–153.

Freebairn, J. (1989), “Is the $A a Commodity Currency?”, in Exchange Rates and Commodity Exports, eds. Clements and Freebairn, Centre of Policy Studies, Monash University.

Fuller, W.A. (1976), Introduction to Statistical Time Series. New York: Wiley.

Hansen, B.E. (1990), “A Note on Fully Modified Estimation and Canonical Cointegrating Regression”, mimeo, Department of Economics, University of Rochester, September.

Hooper, P. and J.E. Morton (1982), “Fluctuations in the Dollar: A Model of Nominal and Real Exchange Rate Determination”, Journal of International Money and Finance, 1: 39–56.

Isard, P. (1988), “Exchange Rate Modelling: An Assessment of Alternative Approaches”, Empirical Macroeconomics for Interdependent Economies, (The Brookings Institute, Washington, D.C.), Chapter Eight.

Johansen, S. (1988), “Statistical Analysis of Cointegration Vectors”, Journal of Economic Dynamics and Control, 12: 231–54.

Johansen, S. and K. Juselius (1990), “Maximum Likelihood Estimation and Inference on Cointegration – with Applications to the Demand for Money”, Oxford Bulletin of Economics and Statistics, 52(2): 169–210.

Jones, M.T. and J. Wilkinson (1990), “Real Exchange Rates and Australian Export Competitiveness”, Reserve Bank of Australia, Research Discussion Paper 9005.

Lowe, P.W. (1991), “Essays in International Trade Structure, Economic Growth and Exchange Rates”, unpublished PhD thesis, Massachusetts Institute of Technology, Chapter 3.

Macfarlane, I.J. and W.J. Tease (1989), “Capital Flows and Exchange Rate Determination”, Reserve Bank of Australia, Research Discussion Paper 8908.

McKenzie, I.M. (1986), “Australia's Real Exchange Rate During the Twentieth Century”, The Economic Record, Supplement: 69–81.

Meese, R. and K. Rogoff (1988), “Was It Real? The Exchange Rate-Interest Differential Relation over the Modern Floating-Rate Period”, Journal of Finance, 43:933–948.

Mishkin, F.S. (1987), “The Dollar and Real Interest Rates: A Comment”, Carnegie-Rochester Conference Series on Public Policy, 27: 141–148.

Murphy, C. and J. Smith (1991), “Determinants of the Australian Real Exchange Rate”, EPAC Background Paper No. 9: 35–55, January.

Ouliaris, S. and S.M. Leong (1991), “Applying the Econometrics of Co-integration to Time Series Data in Marketing Research”, Working Paper No. 91–52, Faculty of Business Administration, National University of Singapore, February.

Pagan, A.R. and M.R. Wickens (1989), “A Survey of Some Recent Econometric Methods”, The Economic Journal, 99: 962–1025, December.

Park, J. (1988), “Testing for Unit Roots and Cointegration by Variable Addition”, Working Paper No. 88–30, Department of Economics, Cornell University.

Park, J. and B. Choi (1988), “A New Approach to Testing for a Unit Root”, Working Paper No. 88–23, Department of Economics, Cornell University.

Phillips, P.C.B. (1987), “Time Series Regression with a Unit Root”, Econometrica, 55: 277–301.

Phillips, P.C.B. and B. Hansen (1990), “Statistical Inference in Instrumental Variables Regression with I(1) Processes”, Review of Economic Studies, 57: 99–125.

Phillips, P.C.B. and S. Ouliaris (1990), “Asymptotic Properties of Residual Based Tests for Co-integration”, Econometrica, 58: 165–193.

Sachs, J.D. (1985), “The Dollar and the Policy Mix: 1985”, Brookings Papers on Economic Activity, 1: 117–185.

Said, S.E. and D.A. Dickey (1984), “Testing for Unit Roots in Autoregressive Moving Average Models of Unknown Order”, Biometrika, 71: 599–607, December.

Simes, R. (1988), “The Determination of the $A/$US Exchange Rate”, paper prepared for the Conference The Australian Macro-Economy and the NIF88 Model', Australian National University, March.

Tarditi, A. and G. Menzies (1991), “Monthly Movements in the Australian Dollar: Do Real Short-Term Interest Differentials Matter?”, manuscript, Reserve Bank of Australia.