RDP 2015-12: Modelling the Australian Dollar Appendix B: Markov-switching Model Output

Jonathan Hambur, Lynne Cockerell, Christopher Potter, Penelope Smith and Michelle Wright

October 2015 – ISSN 1448-5109 (Online)

Table B1: Markov-switching ECM
Parameter State Prior Posterior
Mean Variance Mean 95% HPD(a)
Intercept 0 0 10   0.00 0.00 0.01
1 0 10   −0.03 −0.22 0.10
Speed-of-adjustment 0 −1 1   −0.20 −0.29 −0.11
1 −1 1   −0.10 −0.23 −0.01
SPX 0 0 10   0.18 0.07 0.30
1 0 10   −0.36 −2.32 2.08
CRB 0 0 10   0.24 0.14 0.33
1 0 10   −0.58 −3.13 2.08
CRBt − 1 0 0 10   0.00 −0.10 0.10
1 0 10   0.60 −1.92 3.31
VIX 0 0 10   −0.001 −0.003 0.000
1 0 10   −0.005 −0.092 0.079
ToT 0 0 10   0.03 −0.15 0.20
1 0 10   1.67 −2.52 5.87
RIRD 0 0 10   0.78 −0.12 1.70
1 0 10   −1.17 −6.36 3.95
Residual std dev(b)         0.03 0.02 0.03
Notes: (a) HPD denotes highest posterior density (95 per cent of the posterior distribution fell within this interval)
(b) The prior distribution of σ2 is improper