Anthony Phipps

Modeling the Australian Dollar-US Dollar Exchange Rate Using Cointegration Techniques

This paper examines the link between the Australian dollars exchange rate and Australias terms of trade. The US

The Degree of Capital Mobility in Thailand: Some Estimates Using a Cointegration Approach

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THE IMPACT OF WAGE INDEXATION ON WAGE INFLATION IN AUSTRALIA: 1975(2)–1980(2)*

rate is found to be cointegrated with the terms of trade, and the relationship between the two variables appears to be robust. An estimated error-correction model for changes in the nominal US

AUSTRALIAN UNEMPLOYMENT: SOME EVIDENCE FROM INDUSTRY LABOUR DEMAND FUNCTIONS*

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THE RELATIONSHIP BETWEEN OUTPUT AND EMPLOYMENT IN BRITISH MANUFACTURING INDUSTRY

is shown to have reasonable out-of-sample predictive powers. Weak exogeneity tests within the Johansen framework indicate highly significant causality running from the terms of trade to the exchange rate but less significant causality running from the exchange rate to the terms of trade. Copyright 1999 by Blackwell Publishing Ltd.

Treasury Note and Bank Bill Rates, the Risk Premium and Australian Monetary Policy

An empirical estimate of the degree of international capital mobility in Thailand is given. A model of interest rate determination which allows for imperfectly mobile capital and the impact of both domestic and international influences on the domestic rate is developed and estimated using cointegration techniques. The results indicate that domestic interest rates have been influenced significantly by foreign interest rates. However, despite several reductions in capital control in the late 1980s and early 1990s, the degree of capital mobility appears not to be as high as previously reported nor to have increased significantly. The finding of a moderately high degree of capital mobility coupled with a reasonable EC-type, short-run dynamic adjustment equation for the domestic interest rate implies that there is still some scope for the Thai authorities to conduct an independent monetary policy.