RDP 9111: Monthly Movements in the Australian Dollar and Real Short-Term Interest Differentials: An Application of the Kalman Filter
Equation (24)
q
t
=
ln
[
s
t
(
p
f,t
/
p
d,t
)
]
MathType@MTEF@5@5@+= feaagKart1ev2aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn hiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr 4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq=Jc9 vqaqpepm0xbba9pwe9Q8fs0=yqaqpepae9pg0FirpepeKkFr0xfr=x fr=xb9adbaqaaeGaciGaaiaabeqaamaabaabaaGcbaGaaeyCamaaBa aaleaacaqG0baabeaakiabg2da9iaabYgacaqGUbGaaGPaVlaacUfa caqGZbWaaSbaaSqaaiaabshaaeqaaOGaaiikaiaabchadaWgaaWcba GaaeOzaiaabYcacaqG0baabeaakiaac+cacaqGWbWaaSbaaSqaaiaa bsgacaqGSaGaaeiDaaqabaGccaGGPaGaaiyxaaaa@49E5@