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Monthly movements in the Australian dollar and real short-term interest differentials : an application of the Kalman filter

Tarditi, Alison; Menzies, Gordon Douglas - 1991

Persistent link: https://www.econbiz.de/10000830842

Monthly movements in the Australian dollar and real short-term interest differentials : an application of the Kalman filter

Tarditi, Alison - In: Journal of foreign exchange and international finance : … 8 (1995) 4, pp. 396-417

Persistent link: https://www.econbiz.de/10001231602

Monthly Movements in the Australian Dollar and Real Short-term Interest Differentials: An Application of the Kalman Filter

Tarditi, Alison; Menzies, Gordon - Reserve Bank of Australia - 1991

This paper applies a rational expectations model of the real exchange rate to Australian data. Specifically, it decomposes monthly movements in Australia’s real exchange rate into a transitory and a permanent component. The transitory component is identified with changes in the unobservable <em>ex...</em>

Persistent link: https://www.econbiz.de/10005426696