This paper investigates the role of Australian macro-economic announcement news on five major Australian dollar (AUD) exchange rates. Specifically, the daily changes of the exchange rates are modelled to ascertain the existence and the nature of the news effects in the conditional mean and...

This paper examines the rationality of the Australian survey-based expectations, 1- and 4-week-ahead $US/$A exchange rate and 2 and 4-week-ahead Australian 90-day bank bill and 10-year bond rates. The actual and expected variables are found to be cointegrated, indicating that the expected future...