Research Discussion Paper – RDP 2015-12 Modelling the Australian Dollar

Contents

• Introduction
• Literature Review
• The Baseline ECM
• A Markov-switching Model
• Incorporating Australia's Resources Boom
• Incorporating Unconventional Monetary Policy
• Conclusion
• Appendix A: Out-of-sample Forecasting
• Appendix B: Markov-switching Model Output
• References

The Discussion Paper series is intended to make the results of the current economic research within the Reserve Bank available to other economists. Its aim is to present preliminary results of research so as to encourage discussion and comment. Views expressed in this paper are those of the authors and not necessarily those of the Reserve Bank. Use of any results from this paper should clearly attribute the work to the authors and not to the Reserve Bank of Australia.

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The authors would like to thank Adam Cagliarini, Marion Kohler, Daniel Rees, Chris Ryan and Mark Wyrzykowski for helpful comments and suggestions, and Chamath De Silva and Florian Weltewitz for earlier work on this topic.