RDP 9111: Monthly Movements in the Australian Dollar and Real Short-Term Interest Differentials: An Application of the Kalman Filter Equation (8a)

7. δ t =(β−1) E t [ d t,t+1 ] MathType@MTEF@5@5@+= feaagKart1ev2aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn hiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr 4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq=Jc9 vqaqpepm0xbba9pwe9Q8fs0=yqaqpepae9pg0FirpepeKkFr0xfr=x fr=xb9adbaqaaeGaciGaaiaabeqaamaabaabaaGcbaqbaeaabeGaaa qaaiaaiEdacaGGUaaabaGaeqiTdq2aaSbaaSqaaiaabshaaeqaaOGa eyypa0Jaaiikaiabek7aIjabgkHiTiaaigdacaGGPaGaaeyramaaBa aaleaacaqG0baabeaakiaacUfacaqGKbWaaSbaaSqaaiaabshacaqG SaGaaeiDaiabgUcaRiaaigdaaeqaaOGaaiyxaaaaaaa@48FB@