Taylor Rules and the Australian Exchange Rate
碩士 === 國立高雄大學 === 應用經濟學系碩士班 === 102 === In this study, we study the uncovered interest rate parity in terms of the relationship between the Taylor rule and the exchange rate of the Australian dollar vis-à-vis the US dollar. We use the interest rate rule implied by the Taylor rule model and the data...
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2014
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| Online Access: | http://ndltd.ncl.edu.tw/handle/92300319366046154230 |
| Summary: | 碩士 === 國立高雄大學 === 應用經濟學系碩士班 === 102 === In this study, we study the uncovered interest rate parity in terms of the
relationship between the Taylor rule and the exchange rate of the Australian dollar
vis-à-vis the US dollar. We use the interest rate rule implied by the Taylor rule model
and the data from 1990Q1 to 2012Q4. We investigate contemporaneous rule,
backward-looking rule and forward-looking rule in the Taylor rule model, and discuss
the relationship between the Taylor rule and the predictability of the interest rate. The
results show that the inflation fundamental help predict the exchange rate change of the
Australian dollar vis-a-vis the US dollar.
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