RDP 2015-12: Modelling the Australian Dollar References
October 2015 – ISSN 1448-5109 (Online)
- Download the Paper 1.39MB
Alquist R and MD Chinn (2008), ‘Conventional and Unconventional Approaches to Exchange Rate Modelling and Assessment’, International Journal of Finance & Economics, 13(1), pp 2–13.
Amano RA and S van Norden (1995), ‘Terms of Trade and Real Exchange Rates: The Canadian Evidence’, Journal of International Money and Finance, 14(1), pp 83–104.
Atkin T, M Caputo, T Robinson and H Wang (2014), ‘Macroeconomic Consequences of Terms of Trade Episodes, Past and Present’, RBA Research Discussion Paper No 2014-01.
Balassa B (1964), ‘The Purchasing Power Parity Doctrine: A Reappraisal’, Journal of Political Economy, 72(6), pp 584–596 .
Banerjee A, JJ Dolado, DF Hendry and GW Smith (1986), ‘Exploring Equilibrium Relationships in Econometrics through Static Models: Some Monte Carlo Evidence’, Oxford Bulletin of Economics and Statistics, 48(3), pp 253–277 .
Bauer MD and C Neely (2014), ‘International Channels of the Fed's Unconventional Monetary Policy’, Journal of International Money and Finance, 44, pp 24–46.
Beaumont C and L Cui (2007), ‘Conquering the Fear of Floating—Australia's Successful Adaptation to a Flexible Exchange Rate’, IMF Policy Discussion Paper PDP/07/02.
Beechey M, N Bharucha, A Cagliarini, D Gruen and C Thompson (2000), ‘A Small Model of the Australian Macroeconomy’, RBA Research Discussion Paper No 2000-05.
Bewley RA (1979), ‘The Direct Estimation of the Equilibrium Response in a Linear Dynamic Model’, Economics Letters, 3(4), pp 357–361.
Blundell-Wignall A, J Fahrer and A Heath (1993), ‘Major Influences on the Australian Dollar Exchange Rate’, in A Blundell-Wignall (ed), The Exchange Rate, International Trade and the Balance of Payments, Proceedings of a Conference, Reserve Bank of Australia, Sydney, pp 30–78.
Blundell-Wignall A and RG Gregory (1990), ‘Exchange Rate Policy in Advanced Commodity-Exporting Countries: The Case of Australia and New Zealand’, OECD Economics Department Working Papers No 83.
Bowman D, JM Londono and H Sapriza (2014), ‘U.S. Unconventional Monetary Policy and Transmission to Emerging Market Economies’, Board of Governors of the Federal Reserve System International Finance Discussion Paper No 1109.
Cashin P, LF Céspedes and R Sahay (2004), ‘Commodity Currencies and the Real Exchange Rate’, Journal of Development Economics, 75(1), pp 239–268.
Catão LAV and R Chang (2013), ‘World Food Prices, the Terms of Trade-Real Exchange Rate Nexus, and Monetary Policy’, IMF Working Paper WP/13/114.
Cayen J-P, D Coletti, R Lalonde and P Maier (2010), ‘What Drives Exchange Rates? New Evidence from a Panel of U.S. Dollar Bilateral Exchange Rates’, Bank of Canada Working Paper 2010-5.
Chen Y and K Rogoff (2003), ‘Commodity Currencies’, Journal of International Economics, 60(1), pp 133–160.
Chen Y, K Rogoff and B Rossi (2010), ‘Can Exchange Rates Forecast Commodity Prices?’, The Quarterly Journal of Economics, 125(3), pp 1145–1194.
Cheung Y-W, MD Chinn and AG Pascual (2005), ‘Empirical Exchange Rate Models of the Nineties: Are any Fit to Survive?’, Journal of International Money and Finance, 24(7), pp 1150–1175.
Clark PB and R MacDonald (1999), ‘Exchange Rates and Economic Fundamentals: A Methodological Comparison of BEERs and FEERs’, in R MacDonald and JL Stein (eds), Equilibrium Exchange Rates, Recent Economic Thought, Vol 69, Springer Science+Business Media, New York, pp 285–322.
Clark TE and KD West (2006), ‘Using Out-Of-Sample Mean Squared Prediction Errors to Test the Martingale Difference Hypothesis’, Journal of Econometrics, 135(1–2), pp 155–186.
Clark TE and KD West (2007), ‘Approximately Normal Tests for Equal Predictive Accuracy in Nested Models’, Journal of Econometrics, 138(1), pp 291–311.
Connolly E and D Orsmond (2011), ‘The Mining Industry: From Bust to Boom’, RBA Research Discussion Paper No 2011-08.
De Grauwe P and M Grimaldi (2006), ‘Exchange Rate Puzzles: A Tale of Switching Attractors’, European Economic Review, 50(1), pp 1–33.
Debelle G (2014), ‘Capital Flows and the Australian Dollar’, Speech to the Financial Services Institute of Australia, Adelaide, 20 May.
Debelle G and M Plumb (2006), ‘The Evolution of Exchange Rate Policy and Capital Controls in Australia’, Asian Economic Papers, 5(2), pp 7–29.
Diebold FX (2015), ‘Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests’, Journal of Business & Economic Statistics, 33(1), pp 1–9.
Diebold FX and RS Mariano (1995), ‘Comparing Predictive Accuracy’, Journal of Business & Economic Statistics, 13(3), pp 253–263.
Dornbusch R (1976), ‘Expectations and Exchange Rate Dynamics’, Journal of Political Economy, 84(6), pp 1161–1176 .
Dornbusch R (1980), Open Economy Macroeconomics, Basic Books, New York.
Downes P, K Hanslow and P Tulip (2014), ‘The Effect of the Mining Boom on the Australian Economy’, RBA Research Discussion Paper No 2014-08.
Driver RL and PF Westaway (2004), ‘Concepts of Equilibrium Exchange Rates’, Bank of England Working Paper No 248.
Dvornak N, M Kohler and G Menzies (2003), ‘Australia's Medium-Run Exchange Rate: A Macroeconomic Balance Approach’, RBA Research Discussion Paper No 2003-03.
Dwyer J and P Lowe (1993), ‘Alternative Concepts of the Real Exchange Rate: A Reconciliation’, RBA Research Discussion Paper No 9309.
Engel C (1994), ‘Can the Markov Switching Model Forecast Exchange Rates?’, Journal of International Economics, 36(1–2), pp 151–165.
Engle RF and CWJ Granger (1987), ‘Co-Integration and Error Correction: Representation, Estimation, and Testing’, Econometrica, 55(2), pp 251–276.
Engle RF, DF Hendry and J-F Richard (1983), ‘Exogeneity’, Econometrica, 51(2), pp 277–304.
Evans MDD and RK Lyons (2002), ‘Order Flow and Exchange Rate Dynamics’, Journal of Political Economy, 110(1), pp 170–180.
Forest JJ and P Turner (2013), ‘Alternative Estimators of Cointegrating Parameters in Models with Nonstationary Data: An Application to US Export Demand’, Applied Economics, 45(5), pp 629–636.
Frenkel JA (1976), ‘A Monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence’, The Scandinavian Journal of Economics, 78(2), pp 200–224.
Gabaix X and M Maggiori (2015), ‘International Liquidity and Exchange Rate Dynamics’, The Quarterly Journal of Economics, 130(3), pp 1369–1420.
Gruen D and T Kortian (1996), ‘Why Does the Australian Dollar Move so Closely with the Terms of Trade?’, RBA Research Discussion Paper No 9601.
Gruen D and J Wilkinson (1991), ‘Australia's Real Exchange Rate – Is it Explained by the Terms of Trade or by Real Interest Rate Differentials?’, RBA Research Discussion Paper No 9108.
Hall S, Z Psaradakis and M Sola (1997), ‘Switching Error-Correction Models of House Prices in the United Kingdom’, Economic Modelling, 14(4), pp 517–527.
IMF (International Monetary Fund) (2013), ‘External Balance Assessment (EBA) Methodology: Technical Background’, 25 June. Available at <https://www.imf.org/external/np/res/eba/pdf/080913.pdf>.
Jääskelä J and P Smith (2011), ‘Terms of Trade Shocks: What are They and What Do They Do?’, RBA Research Discussion Paper No 2011-05.
Johansen S (1992), ‘Cointegration in Partial Systems and the Efficiency of Single-Equation Analysis’, Journal of Econometrics, 52(3), pp 389–402.
Kaminska I, A Meldrum and J Smith (2013), ‘A Global Model of International Yield Curves: No-Arbitrage Term Structure Approach’, International Journal of Finance & Economics, 18(4), pp 352–374.
Kent C (2014), ‘The Resources Boom and the Australian Dollar’, Address to the Committee for Economic Development of Australia (CEDA) Economic and Political Overview, Sydney, 14 February.
Kim C-J and CR Nelson (1999), State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications, MIT Press, Cambridge.
Krolzig H-M, M Marcellino and GE Mizon (2002), ‘A Markov–Switching Vector Equilibrium Correction Model of the UK Labour Market’, Empirical Economics, 27(2), pp 233–254.
Langcake S and T Robinson, ‘An Empirical BVAR-DSGE Model of the Australian Economy’, RBA Research Discussion Paper No 2013-07.
Lubik TA and F Schorfheide (2007), ‘Do Central Banks Respond to Exchange Rate Movements? A Structural Investigation’, Journal of Monetary Economics, 54(4), pp 1069–1087.
Maier P and B DePratto (2008), ‘The Canadian Dollar and Commodity Prices: Has the Relationship Changed Over Time?’, Bank of Canada Discussion Paper 2008-15.
Manalo J, D Perera and D Rees (2014), ‘Exchange Rate Movements and the Australian Economy’, RBA Research Discussion Paper No 2014-11.
Mark NC and D Sul (2001), ‘Nominal Exchange Rates and Monetary Fundamentals: Evidence from a Small Post-Bretton Woods Panel’, Journal of International Economics, 53(1), pp 29–52.
Meese RA and K Rogoff (1983), ‘Empirical Exchange Rate Models of the Seventies: Do They Fit Out of Sample?’, Journal of International Economics, 14(1–2), pp 3–24.
Neely C (2014), ‘Unconventional Monetary Policy had Large International Effects’, Federal Reserve Bank of St. Louis Working Paper No 2010-018G, rev.
Obstfeld M and Rogoff K (1996), Foundations of International Macroeconomics, MIT Press, Cambridge.
Panopoulou E and N Pittis (2004), ‘A Comparison of Autoregressive Distributed Lag and Dynamic OLS Cointegration Estimators in the Case of a Serially Correlated Cointegration Error’, The Econometrics Journal, 7(2), pp 585–617.
Peseran MH and Y Shin (1999), ‘An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis’, in S Strøm (ed), Econometrics and Economic Theory in the 20th Century: The Ragnar Frish Centennial Symposium, Econometric Society Monograph No 31, Cambridge University Press, Cambridge, pp 371–413.
Phillips PCB and BE Hansen (1990), ‘Statistical Inference in Instrumental Variables Regression with I(1) Processes’, The Review of Economic Studies, 57(1), pp 99–125.
Plumb M, C Kent and J Bishop (2013), ‘Implications for the Australian Economy of Strong Growth in Asia’, RBA Research Discussion Paper No 2013-03.
Psaradakis Z, M Sola and F Spagnolo (2004), ‘On Markov Error-Correction Models, with an Application to Stock Prices and Dividends’, Journal of Applied Econometrics, 19(1), pp 69–88.
Rayner V and J Bishop (2013), ‘Industry Dimensions of the Resource Boom: An Input-Output Analysis’, RBA Research Discussion Paper No 2013-02.
Rees D, P Smith and J Hall (2015), ‘A Multi-Sector Model of the Australian Economy’, RBA Research Discussion Paper No 2015-07.
Rogers JH, C Scotti and JH Wright (2014), ‘Evaluating Asset-Market Effects of Unconventional Monetary Policy: A Cross-Country Comparison’, Board of Governors of the Federal Reserve System International Finance Discussion Paper No 1101.
Rogoff K (1996), ‘The Purchasing Power Parity Puzzle’, Journal of Economic Literature, 34(2), pp 647–668.
Rogoff K and V Stavrakeva (2008), ‘The Continuing Puzzle of Short Horizon Exchange Rate Forecasting’, NBER Working Paper No 14071.
Samuelson PA (1964), ‘Theoretical Notes on Trade Problems’, The Review of Economics and Statistics, 46(2), pp 145–154 .
Sheehan P and B Gregory (2013), ‘The Resources Boom and Economic Policy in the Longer Run’, The Australian National University Centre for Economic Policy Research Discussion Paper No 683.
Stevens G (2013), ‘The Australian Dollar: Thirty Years of Floating’, Speech to the Australian Business Economists’ Annual Dinner, Sydney, 21 November.
Stock JH and MW Watson (1993), ‘A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems’, Econometrica, 61(4), pp 783–820.
Stone A, T Wheatley and L Wilkinson (2005), ‘A Small Model of the Australian Macroeconomy: An Update’, RBA Research Discussion Paper No 2005-11.
Tarditi A (1996), ‘Modelling the Australian Exchange Rate, Long Bond Yield and Inflationary Expectations’, RBA Research Discussion Paper No 9608.
Taylor AM and MP Taylor (2004), ‘The Purchasing Power Parity Debate’, The Journal of Economic Perspectives, 18(4), pp 135–158.
West KD (1996), ‘Asymptotic Inference about Predictive Ability’, Econometrica, 64(5), pp 1067–1084.
Williamson J (1985), The Exchange Rate System, Policy Analyses in International Economics No 5, 2nd edn, rev, Institute for International Economics, Washington DC.
Wu JC and FD Xia (2014), ‘Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound’, NBER Working Paper No 20117.