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A Perspective on Modelling the Australian Real Trade Weighted Index since the Float
Author(s) -
Aruman Shakila,
Dungey Mardi
Publication year - 2003
Publication title -
australian economic papers
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.351
H-Index - 15
eISSN - 1467-8454
pISSN - 0004-900X
DOI - 10.1111/1467-8454.00186
Subject(s) - economics , index (typography) , currency , float (project management) , liberian dollar , value (mathematics) , deregulation , us dollar , financial economics , international economics , econometrics , macroeconomics , finance , computer science , statistics , mathematics , management , world wide web
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.