A Perspective on Modelling the Australian Real Trade Weighted Index Since the Float

21 Pages Posted: 23 Apr 2003

See all articles by Shakila Aruman

Shakila Aruman

Queensland University of Technology - QUT Business School

Mardi Dungey

University of Cambridge - Cambridge Endowment for Research in Finance (CERF)

Abstract

Since the deregulation of the Australian dollar market in December 1983, considerable effort has been devoted by the central bank to understanding movements in the value of the currency. As the Reserve Bank of Australia (RBA) has a pivotal role to play in currency markets, attention has been focussed on the modelling techniques used by the Bank's researchers in this process. This paper examines the ancestral development of the current model of the Australian Trade Weighted Index (rtwi) used at the RBA, as specified in Beechey et al. (2000). Estimates and forecasting evaluations of the various models imply that only the relationships between the rtwi, the terms of trade and interest differentials hold consistently, providing the empirical foundation for the current RBA model.

Suggested Citation

Aruman, Shakila and Dungey, Mardi, A Perspective on Modelling the Australian Real Trade Weighted Index Since the Float. Available at SSRN: https://ssrn.com/abstract=388169

Shakila Aruman

Queensland University of Technology - QUT Business School

GPO Box 2434
Brisbane, Queensland 4001
Australia

Mardi Dungey (Contact Author)

University of Cambridge - Cambridge Endowment for Research in Finance (CERF) ( email )

Trumpington Street
Cambridge, CB2 1AG
United Kingdom

HOME PAGE: http://www.dungey.bigpondhosting.com

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
21
Abstract Views
947
PlumX Metrics