RDP 2010-07: Monetary Policy and the Exchange Rate: Evaluation of VAR Models Appendix B: Data Description and Sources

US GDP (y^*): Real GDP (constant prices, sa). Source: Datastream, Code – USGDP...D.

US underlying consumer price index (π^*): US CPI excluding food and energy (sa). Source: Datastream, Code – USCPXFDEF.

Federal funds rate (r^*): Nominal US federal funds rate. Source: Datastream, Code – USFDTRG.

Australian GDP (y): Real non-farm GDP (chain-linked, sa). Source: ABS, ‘Australian National Accounts: National Income, Expenditure and Product’, ABS Cat No 5206.0, Table 20.

Australian underlying consumer price index (π): Trimmed mean consumer price index excluding interest and taxes. Source: Reserve Bank of Australia.

RBA cash rate (r): Nominal official cash rate. Source: Reserve Bank of Australia.

Real exchange rate (q): Real A$/US$ exchange rate (March 1995 = 100). Source: Reserve Bank of Australia.