RDP 2014-11: Exchange Rate Movements and the Australian Economy Appendix A: Data

Josef Manalo, Dilhan Perera and Daniel Rees

September 2014 – ISSN 1320-7229 (Print), ISSN 1448-5109 (Online)

The data series that we use in the model are as follows:

Australian inflation: Quarterly inflation of the trimmed mean consumer price index excluding interest and tax changes (RBA statistical table G1 Consumer Price Inflation).

Australian major trading partner gross domestic product: The natural logarithm of quarterly seasonally adjusted Australian major trading partner real GDP (RBA).

Australian real gross domestic product: The natural logarithm of seasonally adjusted chain volume GDP (ABS Cat No 5206.0).

CBOE Volatility Index (VIX): The level of the VIX index, averaged over the quarter (Chicago Board Options Exchange (www.cboe.com/micro/VIX/vixintro.aspx)).

Industry gross value added: The natural logarithm of quarterly chain volume gross value added (GVA) for each industry (ABS Cat No 5206.0). ‘Other business services’ GVA is the sum of chain volume GVA for the following industries: information media & telecommunications; professional, scientific & technical services; rental, hiring & real estate services and administrative & support services. ‘Personal services’ GVA is the sum of chain volume GVA for the following industries: accommodation & food services; arts & recreation services and other services. ‘Social services’ GVA is the sum of chain volume GVA for the education & training and health care & social assistance services industries.

Overnight cash rate: Overnight cash rate, averaged over the quarter. Nominal official cash rate until June 1998, and then the interbank overnight rate (RBA statistical table F1.1 Interest Rates and Yields – Money Market).

Real trade-weighted index: The natural logarithm of the real trade-weighted exchange rate index (RBA statistical table F15 Real Exchange Rate Measures).

Terms of trade: The natural logarithm of seasonally adjusted terms of trade (ABS Cat No 5302.0).

United States consumer price inflation: Quarterly inflation of the chain price index for personal consumption (Datastream code: USCE…E).

United States federal funds rate: The US federal funds target rate, averaged over the quarter (Datastream code: USFDTRG).

United States real gross domestic product: The natural logarithm of seasonally adjusted quarterly real US GDP (Datastream code: USGDP…D).