We built a portfolio choice model in which agents are heterogeneous and possibly draw systematic rational forecast errors.

In this paper we use a Threshold AutoRegressive (TAR) model to capture the non-linear dynamics of 7 real effective exchange rates, defines for the recent floating period. The so-called real exchange rate -real interest rate model is exploited in a novel way to define the thresholds.

This paper examines the rationality and optimality of the survey based expectations of Australian exchange rate and interest rates.

Recent evidence indicates that Australia's real effective exchange rate, its terms of trade and a long-term real interest rate differential form a cointegrating relationship. This paper uses this evidence to analyse the nominal US$/A$ exchange rate.

This paper examines the key characteristics of foreign exchange intervention by the Reserve Bank of Australia in the period 1983-1997. The effectiveness of intervention has come into question in view of the rapidly growing volume of trade in the markets. In the literature, tests of actual...

The out-of-sample forecasting performances of two univariate time series presentations for the USD/DEM real exchange rate are compared using quarterly data for the period 1957Q1-1998Q4. The linear AR process is frequently fitted to real exchange rate series because it is sufficient for capturing...