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International Finance Report
V o K h a n h T u n g s 3 4 8 0 7 9 7
N g u y e n M i n h C h a u s 3 4 2 5 5 7 0
N g o T r i V i n h s 3 4 6 1 8 7 6
N g u y e n P h u o n g N g o c
s 3 3 7 3 6 0 2
B u i T h i T h a n h H u y e n
s 3 4 4 5 8 6 6
Group 3
In this report we will attempt to predict the spot
exchange rate USD/ AUD @ 28/08/2015 using single
equation regression with independent variables such as
interest rate, economic growth, trade balance, inflation
rate….
Table of Contents
Introduction ................................................................................................................................. 2
Executive Summary ...................................................................................................................... 2
Theoretical Framework ................................................................................................................. 4
Interest rate and money supply................................................................................................... 4
Inflation rate ............................................................................................................................. 5
Economic growth...................................................................................................................... 6
Balance of Payment .................................................................................................................. 6
Current Account .................................................................................................................... 6
Financial Account ................................................................................................................. 8
Methodology ................................................................................................................................ 8
Interest rate and economic growth .............................................................................................. 9
Balance of payment................................................................................................................. 10
Final model ............................................................................................................................ 10
Residuals ............................................................................................................................ 12
Conclusion & Limitation ......................................................................................................... 13
Conclusion.......................................................................................................................... 13
Limitations ......................................................................................................................... 14
Technical Analysis .................................................................................................................. 15
Reference ................................................................................................................................... 18
Appendix ................................................................................................................................... 20
Introduction
Open market generates opportunities for trading and develops economy growth between
countries around the world. There are more relationships to be established and cooperated for
these positive developments. Many factors have affected the international financial market,
especially the exchange rate which strongly influences the decisions of investors, financial
analyst’s business firms and individuals. The fluctuation of exchange rates requires more
specific analysis from investors to reduce risk in the investment.
This report is going to analyse the monthly spot USD/AUD exchange rate from August 1995
to Mar 2015; and the other factors that affect the exchange rate, namely interest rates,
economic growth, inflation rate, money supply and component of trade balance. In detail,
USD is known as the most trade currency in the world. Meanwhile, AUD is also a popular
currency worldwide because of the demand for the imports of Australian goods and services
such as agricultural and common goods, education, resources and education. Finally, the
report will provide the analytical strategies, summary, recommendation as well as predict the
spot exchange rate on 28/08/2015 of USD/AUD exchange rate.
Executive Summary
Along with the global trading and cooperation, exchange rate risk has become one of the
most concerns to every economy in the partner relationships. Therefore, forecasting the trend
of exchange rate is really essential to prepare for the change and hedge the exchange rate-
related risk.
This report will analyse the trend of exchange rate between two pair currency U.S Dollar and
Australia Dollar (AUD) during 20 years (1995-2015), examining some possible qualitative
indicators including: interest rates, inflation rate, economic growth rate and balance of
payment between those economies. Factors like interest rates, economic growth rate and
balance of payment of the economy have positive relationship with the value of the
economy’s currency meanwhile higher inflation rates (more than 3%) cause the economy’s
currency weaken.
Besides, this report includes constructing a single equation model to forecast the exchange
rate by testing significance of the indicators’ variables such as: difference between interest
rate of US to AUS with 3 months lag, Commodity Index, difference between monthly
inflation rate of US and AUD, ratio of US money supply (M1) to Australia money supply
(M1), difference between percentage change of US and AUS capital account over 1 month,
difference in economic growth of US and AUS with 3 months lag, percentage change of net
export trade between US and AUS. As a result, the significant model is the one include all
indicators but the difference between the inflation rates. This makes sense to the practice
because inflation rates which are under 3% will not cause any remarkable effects on
exchange rate. The final equation will be:
𝑠𝑡 = −0.0252 + 0.9546 ∗ 𝑠𝑡−1 −0.0057 ∗ 𝐼𝑅 + 0.244 ∗ 𝐶𝐼 − 0.0015 ∗ 𝐶𝑎𝑝𝐴𝑐𝑐𝑡 − 0.0033
∗ 𝐸𝐺 + 0.016 ∗ 𝑇𝑟𝑎𝑑𝑒
Whereas:
Variables Description
𝑠𝑡−1 Natural logarithm of spot exchange rate at
previous month
IR Natural logarithm of ratio between interest
rate of US to AUS with 3 months lag
CI Natural logarithm of Commodity Index
CapAcct Difference between percentage change of US
and AUS capital account over 1 month
EG Difference in economic growth of US and
AUS with 3 months lag
Trade Percentage change of net export trade
between US and AUS
With the regression equation we will calculate spot exchange rate US/AUS @ 28/08/2015:
𝑠𝑎𝑢𝑔−15 = 0.727209
In conclusion, all 3 methods conclude that AUD will depreciate against USD compared with
July-2015
However, the single equation model has incurred some weaknesses. Firstly, the frequency of
the collected data that are almost recorded quarterly or sometimes monthly, which will cause
the inconsistency to forecast the exchange rate for monthly exchange and be valid in long
term trading as well as multicollinerity problem. Moreover, the model has ignored the
analysis of qualitative method at all.
Theoretical Framework
Interest rate and money supply
Interest rate is the amount charged by a lender to a borrower for the use of asset. Interest rate
is highly correlated to the exchange rate. According to Oanda (n.d), when the interest rate
goes down, it will become less attractive to deposit money in the bank. This will lead to
decrease investors’ demanded and cause a decline in the value of the currency as well as
decrease value of the exchange rate.
Adapted from exchange rate determination, International monetary economics
The graph shows how the interest rate affect exchange rate of 2 countries. However, our
group discuss particularly on the relationship between interest rate of domestic currency and
exchange rate in money market. In detail, in short run, the money supply of domestic
currency increases immediately (Ms1/p shifts to Ms2/p), that leads to the decreasing of
valuation in domestic currency market as well as depreciation of domestic currency, that
affects negatively on interest rate, leading to interest rate decreases ( R1 shifts to R2), and
exchange rate increases from E1 to E2.
In addition, after the midst of the Global Financial Crisis starting from 2007, the Federal
Reserve keep the low interest rate nearly zero (0.25%) (FED 2015).Fed has continued to hold
at this low interest rate to get the U.S. economy out of recession.
This low interest rate is seen as the depreciation of the US dollar because of the reduction in
the capital inflow and the demand for the USD. However, over the last eight months, the U.S.
dollar has been appreciating against all other currencies in over the world ( Gillespie 2015).
This suggests that the U.S. interest rate, in this context, has a little effect to the exchange rate.
According to the Trading economic, Australia’s the interest rate remain at 2.5% since the
early 2014 while interest rate of US still stand at 0.25%. The interest rate differential
between Australia and US not changing much and the interest rate in Australia always higher
than the interest rate in US. Thus in the near future, we expect to see USD to depreciate
against the AUD.
Inflation rate
Inflation rate is the percentage rate of change of a price index over time. A country with high
inflation rate exhibits a decreasing currency value, as it decline purchasing power relatives to
other currencies. Therefore, the inflation rate has a negative impact on foreign exchange.
According to Purchasing Power Parity the relationship between exchange rate and price level
is as follow:
Whereas: S is percentage change in spot exchange rate
P and *P is percentage change in price level of home and foreign country
respectively
However, According to Rogoff (1996, p.647), ‘The Purchasing Power Parity Puzzles’, PPP
does not hold in the short run such as monthly and the convergence to PPP in long run is
extremely low. Moreover, if the inflation rate is below 3% it has no effect on exchange rate.
*PPS
Economic growth
GDP annual growth rate in United State has fluctuated from 2013 to 2015 but overall it has
an upward trend.
According theory in the macroeconomic, the exchange rate was affected by two factors of
economic growth. The first factor is that the economic growth increase the demand for US’s
import, thereby increasing the supply for US dollar. This will be depreciation the USD
against the other currencies. The second factor is that it will raise the US dollar’s demand by
foreign investment (capital inflow). Thus, this supposed to appreciate the USD against other
currencies.
According to the Trading economic, the economic growth is predicted to decline in the next
two quarters. In this case, because of the low oil price and improving job market, consumer
has confidence in United State economy’s recovery (Bloomberg 2015). In conclusion, when
the growth rate decreases in the nearly future, we expect the USD will appreciate.
Balance of Payment
Due to globalization, international trade has developed significantly. One of the concerns of
international trade is the currency exchange rates fluctuation which is hugely impacted by the
balance of payment (BOP) of countries. BOP is computed by two specific indicators
including: Current Account and Financial Account
Current Account
Current Account is an economic measure which contributorily indicates an economy health.
A country’s current account is recorded from the sum of balance of trade including the
difference between goods and services export and import, net abroad income and net current
transfer.
CA= (X-I) + NY* + NCT
CA: Current Account
X: Exporting measure
I: Importing measure
NY*: Net income which a local or a domestic company receives as an interest payment or
investment for example from a company or individual with foreign identity.
NCT: Net income which a local or a domestic company receives with no exchange in return
as an aid for example from a company or individual with foreign identity.
Hence, surplus current account implies that the income of the economy from foreign
economies outweighs the expense payment of the economy to the foreigners. On the contrary,
when a current account is deficit, the economy is supposed to spend on foreign economies
more than the local earns. As a result, along with the deficit current account, in exchange for
domestic currency, the demand for foreign currency will increase, which leads the foreign
currency to appreciate, vice versa in case of deficit current account.
According to Figure 1, Current Account of Australia is expected to fall slightly. This means
the demand for payment for foreigners is probably lower. As a result, the supply of AUD in
exchange for foreign currency decreases, which possibly makes the value of the currency
increase. Meanwhile, in United State, expectation of increase of current account indicates that
the demand for the foreign currencies payment will rise. As an effect, USD seems to
depreciate. To sum up, AUD is forecasted to appreciate against USD.
Countries Q2/2015 Q3/2015 Unit
Australia -10,741 -10,498 AUD Million
United States -113,337 -116,481 USD Million
Figure 1: Current and Forecast Current Account
(Adapted from Tradingeconomics n.d)
Financial Account
Financial Account is the other measure which contributes to the Balance of Payment of an
economy. Financial Account is recorded by sum of the net amount of transactions in the
market for financial assets, such as bonds and stocks, and foreign direct investment (FDI) into
the local country.
In fact, FED is proposed to increase the US interest rate in September (Neate.R 2015), which
may shift huge amount of investment back to the United States market. As result, the
financial account of US will be much less negative than it is in the current quarter (Figure 2).
Hence, the investment will demand much more USD for exchange, which raises the price of
USD eventually. Meanwhile, financial account of Australia is expected to rise as well.
However, the effect of change in Australia is not as significant as in its peer. Therefore, USD
is speculated to appreciate against AUD.
In conclusion, the effects of change of two indicators of Balance of Payment are actually
against the other. Therefore, to determine the exchange rate in the future, it is required to
evaluate the significance of changes of each indicator. From Figure 1 and Figure 2, it is
obvious that the raise of interest rate will bring much more significant effect on the exchange
rate; as a result, USD seems to appreciate against AUD.
Methodology
In order to build a single equation regression for exchange rate, we will use time series model
with assumption that exchange rate can be predicted using previous month exchange rate plus
a change: 𝑠𝑡 = 𝑠𝑡−1 + 𝜀. This change in exchange rate can be explained using backward
elimination method on factors that analysed in theoretical framework above to eliminate
insignificant variable. Data which is used in this regression model is collected monthly from
August 1995 to Mar 2015. However, in order to have a reliable model the residuals must be
normal distributed and homoscedasticity while the dataset collected is too volatile to satisfy
Countries Q2/2015 Q3/2015 Unit
Australia 68377 70862 AUD Million
United States -76454 -5745 USD Million
Figure 2: Current and Forecasted Financial Account
(Adapted from Tradingeconomics 2015)
these requirements. To solve this problem, we will transform our data by taking natural
logarithm of data or using percentage change over a periods of time depend on the pattern of
that data. The regression variables will be as follow:
𝑠𝑡 = 𝑠𝑡−1 + 𝑎1 ∗ 𝐼𝑅 + 𝑎2 ∗ 𝐶𝐼 + 𝑎3 ∗ 𝜋 + 𝑎4 ∗ 𝑚1 +𝑎5 ∗ 𝐶𝑎𝑝𝐴𝑐𝑐𝑡 + 𝑎6 ∗ 𝐸𝐺 + 𝑎7 ∗ 𝑇𝑟𝑎𝑑𝑒
Whereas:
Name of variables Description
𝑠𝑡 Natural logarithm of spot exchange rate at
period t
IR Natural logarithm of ratio between interest
rate of US to AUS with 3 months lag
CI Natural logarithm of Commodity Index
𝝅 Difference between monthly inflation rate of
US and AUD
M1 Natural logarithm of the ratio of US money
supply (M1) to AUD
CapAcct Difference between percentage change of US
and AUS capital account over 1 month
EG Difference in economic growth of US and
AUS with 3 months lag
Trade Percentage change of net export trade
between US and AUS
Interest rate and economic growth
Firstly, it takes time for the economy to react with information regarding economic growth
and interest rate. Therefore, in order to fit these variables into regression model we have to
estimate the lag period for them because it varies with different pairs of currency. Our
methodology is that we will run simple regression for exchange rate with four different lags
0, 1, 2 and 3 months and choose the smallest p-value for the lag periods
p-value
No lag 0.8342
1 month 0.4454
2 months 0.6226
3 months 0.2496
Refer to the figure above, we will choose 3 as our lag period for interest rate and economic
growth, the detail of regression can be found in appendix 2.
Secondly, economic growth data is for annual growth for every quarter. To fit into monthly
data we assume that both US and AUS have steady growth for 3 month in a quarter which
mean the percentage growth is the same for every month in a quarter.
Balance of payment
We split balance of payment into 3 different variables: Capital account, net trade between US
and AUS together with commodity index. We choose net trade between US and AUS rather
than Current account because only the trade between these two can affect exchange rate
directly. We include commodity index as an independent variable because most of Australia
export goods is commodity goods (Department of Foreign Affair and Trade n.d.).
As the data set is in millions of dollars, if we use data directly to run regression, the
coefficient will be zero because these numbers is way larger than natural logarithm of
exchange rate itself. Therefore we will calculate the percentage change over one month of
capital account and then compare 2 countries with each other’s. The last adjustment we made
regarding capital account is that the data is for quarterly therefore we will assume that the
growth is equal across one quarter. Let call the growth for each month in 1 quarter is x and
the growth of capital account over 3 months is r. We can have this relationship: (1 + 𝑥)3 =
1+ 𝑟 therefore the growth for a month will be 𝑥 = √(1 + 𝑟)3 − 1
Final model
After using backward elimination the first model is as below:
As we analysed before in theoretical, relative inflation rate of US/AUS will not affect spot
exchange rate. This conclusion has proven to be true by regression as the p value of inflation
rate is 0.8328 which is insignificant
After 3 more steps our final model is as below:
Iteration 1
All Variables
Regression and Correlation
Observations 233 ANOVA
R Square 0.9756 df SS MS F p value
Standard Error 0.0331 Regression 8 9.7980 1.2247 1117.6447 0.0000
Adjusted R Square 0.9747 Residual 224 0.2455 0.0011
Multiple R 0.9877 Total 232 10.0434404
Coefficients Standard Error t value p value
Intercept -0.0499 0.0283 -1.7618 0.0795
IR -0.0057 0.0025 -2.2422 0.0259
Phi -0.0004 0.0020 -0.2114 0.8328
M1 0.0113 0.0122 0.9261 0.3554
CapAcct -0.0014 0.0008 -1.8652 0.0635
Trade with US 0.0163 0.0096 1.6948 0.0915
EG -0.0038 0.0016 -2.4000 0.0172
S(t-1) 0.9549 0.0169 56.4315 0.0000
CI 0.2659 0.0765 3.4735 0.0006
Final Model
Regression and Correlation
Observations 233 ANOVA
R Square 0.9755 df SS MS F p value
Standard Error 0.0330 Regression 6 9.7970 1.6328 1497.5083 0.0000
Adjusted R Square 0.9748 Residual 226 0.2464 0.0011
Multiple R 0.9877 Total 232 10.0434404
Coefficients Standard Error t value p value
Intercept -0.0252 0.0070 -3.5705 0.0004
IR -0.0057 0.0022 -2.5507 0.0114
CapAcct -0.0015 0.0008 -1.9204 0.0561
Trade with US 0.0160 0.0096 1.6683 0.0966
EG -0.0033 0.0015 -2.2757 0.0238
S(t-1) 0.9546 0.0149 64.0084 0.0000
CI 0.2440 0.0724 3.3685 0.0009
Forecast?
R Square = 97.55% means that 97.55% the variation of exchange rate can be explain by the
variation of independent variables used in our model.
Variables Coefficient Explanation
𝑠𝑡−1
0.9546 If the natural log of lag
exchange rate increase by 1 the
spot exchange rate will
increase by 0.9546
IR
-0.0057 If the different of interest rate
between US to AUS widen, the
exchange rate will decrease
which will lead to the
depreciation of AUD
CI 0.244 If the commodity price in AUS
increase AUD will appreciate
CapAcct
-0.0015 If the change in capital account
of US is relatively larger than
AUS then the AUD will
depreciate
EG
-0.0033 If the economic growth of US
relatively higher than AUS
then the AUD will depreciate
Trade
0.016 If net trade from AUS to US
increase then the AUD will
appreciate against the US
Residuals
-0.2000
-0.1000
0.0000
0.1000
0 100 200 300
Re
sid
ual
s
Observations
Series1
The residuals are spreading along the 0 line and has no clear pattern which indicate that this
model is significant
Histogram of residuals is normally distributed
Conclusion & Limitation
Conclusion
Using the analysis above we can conclude that this model can be used to predict spot
exchange rate with significance level of 90%. The final equation is:
𝑠𝑡 = −0.0252 + 0.9546 ∗ 𝑠𝑡−1 −0.0057 ∗ 𝐼𝑅 + 0.244 ∗ 𝐶𝐼 − 0.0015 ∗ 𝐶𝑎𝑝𝐴𝑐𝑐𝑡 − 0.0033
∗ 𝐸𝐺 + 0.016 ∗ 𝑇𝑟𝑎𝑑𝑒
Whereas:
Variables Description
𝑠𝑡−1 Natural logarithm of spot exchange rate at
previous month
IR Natural logarithm of ratio between interest
rate of US to AUS with 3 months lag
CI Natural logarithm of Commodity Index
CapAcct Difference between percentage change of US
and AUS capital account over 1 month
EG Difference in economic growth of US and
AUS with 3 months lag
Trade Percentage change of net export trade
between US and AUS
0
20
40
60
Fre
qu
en
cy
Variable
Residuals
Series1
Forecasted data at 28/8:
Variables Forecasted value Assumption
𝑠𝑡−1 Ln(0.73067)= - 0.31379
IR Ln(0.25/2)= - 2.07944
CI
Ln(61*(1-1.6%)/61) = -0.01613
(Reserve Bank of Australia(RBA) 2015)
The commodity index of Australia
has been decreasing for the last four
years with the average of 1.6%
(appendix ) so we assume that it will
decrease by this rate between July
and August 2015
CapAcct 0.231969766
The calculation is in appendix 3
EG 0.45
Trade
0.74% According to trading economics the
current account of Australia will
improve by 2.26% from Q2/2015 to
Q3/2015. We assume that net trade
between US and AUS will has the
same increase therefore monthly
growth will be
0.74%=√(1 + 2.26%)3 −1
Using figured above we can calculate the forecasted spot exchange rate at 28/8/2015:
ln(𝑠𝑎𝑢𝑔−15) = −0.0252 − 0.31379 ∗ 0.9546 − 0.0057 ∗ (−2.07944)+ 0.244
∗ (−0.01613) − 0.0015 ∗ (0.23197) − 0.0033 ∗ 0.45 + 0.016 ∗ 0.0074
= −0.31854
Therefore the spot exchange rate will be 𝑠𝑎𝑢𝑔−15 = 0.727209
Limitations
Even though this model looks fantastic with very high R squared and acceptable residuals
plot, its prediction power is not too credible. If we calculate the percentage change from a
month compared to the previous month of both regression model and real spot exchange rate
we have the below graph:
This figure shows that regression model can only predict the direction of change in spot
exchange rate with around 56% correct (131/233 observation). If we rely on this model to do
monthly trading in Finance industry it would be unreliable and cost investor a lot of money.
Meese and Rogoff (1983, p.3) show that it is impossible to predict or explain nominal
exchange rate using standard macroeconomic models with horizons up to 18 months.
Therefore, this model is not reliable on predicting movement of exchange rate.
Moreover, most of the economic factors are correlated to each other for example when
interest rate changes will lead to change in both capital accounts and economic growth.
Therefore, this model has multicollinearity problem which is incredibly hard to solve as
bachelor level
Technical Analysis
Technical analysis is used to look at the current foreign exchange rate and forecast the
rate movement of currency in the future. It also helps to generate buy and sell signal
for the investors in the financial market.
-0.2
-0.15
-0.1
-0.05
0
0.05
0.1
0.15
-0.2 -0.15 -0.1 -0.05 0 0.05 0.1 0.15
Direction of change
(Bollinger bands of USD/AUD, adapted from the Thompson Reuters database)
Over the past decade, the AUD had mainly appreciated against USD up to 2011,
excepted from the global financial crisis period when the exchange rate dropped down to
0.6572 in November, 2008. The technical analysis is illustrated by two trend-lines; in which
the upward trend was from September 2009 to July 2011 and the downward trend from May
2011 to May 2015; and the other by Bollinger bands. Firstly, the trend lines are drawn after
the economic crisis break and based on the support trend-line paralleled to the resistance
trend-line. Regarding to the upward trend-line, the AUD appreciated against the USD from
the increase of 0.8801 to 1.0954 (around 21%) due to the result of trade and strong economic
performance after the crisis, especially the rises in interest rate. However, the resistance
level in July, 2011 was followed by the downward trend-line to May, 2015 at 0.7663 which
means that the USD appreciated against the AUD. The reason for this depreciation because
of the weak commodity prices, the decline of the mining – investment boom, the lower-than-
expected growth in their big trading partner- China and the US economy recovery.
Secondly, the Bollinger band shows two standard deviations away from the 20 months
average moving. It also shows the trends and measures the volatility of the currency’s price;
the wider the bands, the more volatility between two currencies, vice versa. Comparing the
two periods before and after financial crisis in 2008, the bands became from contracted –
less volatility to widen – more volatility due to the fluctuations in economic factors as
mentioned above. As a result of the more volatility, the USD/AUD will not be stable in the
future which increases risk in investment. The investors are prefer to buy at lower rate and
sell at the higher rate, the technical analysis shows that there will be the disadvantages for
AUD since the trend line has declined and volatility of USD/AUD has increased in recent
years.
Reference
Banet J, Hayes B 2015, “U.S inflation outlook 2015: The Fed versus market”,
February 2015, viewed August 28 2015, available from:
<http://www.federalreserve.gov/faqs/economy_14400.htm>
Board of Governors of Federal Reserve System n.d , Selected Interest rates, viewed
20 August 20015 ; <http://www.federalreserve.gov/releases/h15/data.htm>
Bloomberg 2015, “Americans gaining Confidence as Job Market Strengthens:
Economy”, January 2015, viewed 27 August 2015,
<http://www.bloomberg.com/news/articles/2015-01-08/u-s-consumer-confidence-
rebounded-to-seven-year-high- last-week>
Department of Foreign Affair and Trade, ‘Australia’s Top 10 goods & services
exports and imports, < http://dfat.gov.au/trade/resources/trade-at-a-glance/pages/top-
goods-services.aspx>
Federal Reserve 2015, “why are interest rates being kept at a low level?” , viewed
August 27 2015, <http://money.cnn.com/2015/03/16/investing/us-dollar-fastest-rise-
40-years/>
International Monetary Fund n.d, ‘e-Library data – International Financial Statistics’,
viewed August 17 2015; <http://elibrary-data.imf.org/DataExplorer.aspx>
Neate. R 2015, The Guardian, “Federal Reserve moves toward raising interest rate
for first time in year”, viewed on August 22, 2015,
<http://www.theguardian.com/business/2015/aug/19/federal-reserve-interest-rate-
increase>
Oanda (n.d), “Exchange rate dynamics and currency factors”, viewed August 27
2015, <http://fxtrade.oanda.ca/learn/top-5-factors-that-affect-exchange-rates>
Meese & Rogoff 1983, ‘Empirical Exchange rate models of the seventies’, Journal of
International Economics, vol 14, p3-24
Reserve Bank of Australia(RBA) 2015, Index of Commodity Prices, viewed August
27 2015, <http://www.rba.gov.au/statistics/frequency/commodity-prices.html>
Rogoff. K 1996, ‘The Purchasing Power Parity Puzzles’, Journal of Economic
Literature, June 1996, Vol. XXXIV, pp. 647-668
Tradingeconomics n.d, Trading Economics, “Australia Capital Flows Forecast”
viewed on August 22, 2015, <http://www.tradingeconomics.com/australia/capital-
flows/forecast>
Tradingeconomics n.d, Trading Economics, “Australia Foreign Direct Investment
Forecast” viewed on August 22, 2015,
<http://www.tradingeconomics.com/australia/foreign-direct- investment/forecast>
Tradingeconomics n.d, Trading Economics, “United States Capital Flows Forecast”
viewed on August 22, 2015, <http://www.tradingeconomics.com/united-states/capital-
flows/forecast>
Tradingeconomics n.d, Trading Economics, “United States Foreign Direct Investment
Forecast” viewed on August 22, 2015, <http://www.tradingeconomics.com/united-
states/foreign-direct- investment/forecast>
Appendix
S(t) IR Phi M1 CapAcct Trade with USEG
31-Aug-1995 -0.28449 -0.22547 -2.522550336 2.699055 -2.57325 0.224193 -0.33349
30-Sep-1995 -0.28104 -0.23639 -2.596492637 2.693099 -2.57325 -0.12538 -0.33349
31-Oct-1995 -0.27892 -0.26039 -2.290635452 2.683907 0.379024 0.112287 -0.96577
30-Nov-1995 -0.29182 -0.26744 -2.494789579 2.678 0.379024 0.118353 -0.96577
31-Dec-1995 -0.29437 -0.25705 -2.561589846 2.648659 0.379024 -0.21432 -0.96577
31-Jan-1996 -0.29477 -0.27061 -1.032122422 2.631853 -1.17814 0.244776 -1.48827
29-Feb-1996 -0.26984 -0.26369 -1.109237906 2.617558 -1.17814 0.00953 -1.48827
31-Mar-1996 -0.24936 -0.29214 -0.91984148 2.60487 -1.17814 -0.02872 -1.48827
30-Apr-1996 -0.24156 -0.2993 -0.193357472 2.590832 0.084846 0.055542 -2.42684
31-May-1996 -0.22527 -0.3664 -0.199067017 2.582333 0.084846 0.0504 -2.42684
30-Jun-1996 -0.23699 -0.34664 -0.335901639 2.570112 0.084846 -0.20288 -2.42684
31-Jul-1996 -0.25735 -0.3664 0.810819672 2.564109 -0.22669 0.208025 -0.23625
31-Aug-1996 -0.23458 -0.36257 0.737697842 2.551946 -0.22669 -0.07628 -0.23625
30-Sep-1996 -0.23269 -0.3648 0.862610966 2.533109 -0.22669 -0.12954 -0.23625
31-Oct-1996 -0.23332 -0.27229 1.472843201 2.52295 0.071549 0.201169 0.335276
30-Nov-1996 -0.20986 -0.27612 1.735208333 2.494316 0.071549 -0.16669 0.335276
31-Dec-1996 -0.22753 -0.28106 1.80247557 2.463444 0.071549 0.166506 0.335276
31-Jan-1997 -0.27181 -0.29671 1.684041451 2.45948 -2.74065 -0.10415 0.359008
28-Feb-1997 -0.25386 -0.19294 1.674215623 2.464805 -2.74065 -0.18442 0.359008
31-Mar-1997 -0.24016 -0.13919 1.401721259 2.43913 -2.74065 0.168591 0.359008
30-Apr-1997 -0.24705 -0.13852 2.195201536 2.427326 -2.39195 0.02483 1.870348
31-May-1997 -0.27273 -0.14669 1.934993614 2.405161 -2.39195 0.003888 1.870348
30-Jun-1997 -0.2937 -0.1221 1.997383535 2.395214 -2.39195 0.187602 1.870348
31-Jul-1997 -0.2941 -0.09679 2.679299363 2.386185 -0.4339 -0.14609 -1.0187
31-Aug-1997 -0.3087 0.007299 2.67504768 2.368531 -0.4339 -0.09208 -1.0187
30-Sep-1997 -0.32878 -0.01606 2.604626109 2.358701 -0.4339 0.069637 -1.0187
31-Oct-1997 -0.35155 0.100942 2.3846494 2.345841 0.207516 0.047049 0.691546
30-Nov-1997 -0.38522 0.13508 2.128499369 2.322558 0.207516 -0.23231 0.691546
31-Dec-1997 -0.42664 0.102557 2.002395965 2.323759 0.207516 0.243714 0.691546
31-Jan-1998 -0.40152 0.093312 1.721338781 2.324581 0.187518 -0.06548 -0.52394
28-Feb-1998 -0.39378 0.08899 1.591102757 2.31882 0.187518 -0.11374 -0.52394
31-Mar-1998 -0.41038 0.058014 1.525 2.323074 0.187518 0.134036 -0.52394
30-Apr-1998 -0.43094 0.102168 0.685705368 2.330649 0.614298 -0.03819 -1.18925
31-May-1998 -0.47225 0.095129 0.936445971 2.31261 0.614298 -0.07517 -1.18925
30-Jun-1998 -0.48858 0.09349 0.934341859 2.297284 0.614298 0.051036 -1.18925
31-Jul-1998 -0.49217 0.086178 0.332242991 2.289383 -2.63374 0.217037 0.41652
31-Aug-1998 -0.5637 0.107589 0.266915423 2.27443 -2.63374 -0.24202 0.41652
30-Sep-1998 -0.52003 0.10616 0.138833747 2.275509 -2.63374 0.040248 0.41652
31-Oct-1998 -0.46793 0.108575 -0.014851485 2.279791 0.404867 0.426599 -1.50834
30-Nov-1998 -0.45839 0.102362 0.047987616 2.280373 0.404867 -0.12459 -1.50834
31-Dec-1998 -0.48792 0.095129 0.111903286 2.280106 0.404867 -0.17907 -1.50834
31-Jan-1999 -0.46426 0.060995 0.480792079 2.284471 -2.24123 -0.03464 -0.44593
28-Feb-1999 -0.47401 -0.03259 0.415929586 2.267831 -2.24123 -0.12676 -0.44593
31-Mar-1999 -0.46315 -0.00639 0.536263872 2.258782 -2.24123 0.244227 -0.44593
30-Apr-1999 -0.41582 -0.02137 1.236923077 2.254893 0.191636 -0.0656 -0.04695
31-May-1999 -0.43217 -0.0146 1.048452088 2.251955 0.191636 0.025673 -0.04695
31-May-1999 -0.43217 -0.0146 1.048452088 2.251955 0.191636 0.025673 -0.04695
30-Jun-1999 -0.41612 0.010449 0.923190184 2.24733 0.191636 0.090873 -0.04695
31-Jul-1999 -0.42771 -0.00421 0.364607843 2.242369 -2.06802 -0.17965 -0.10297
31-Aug-1999 -0.44957 -0.0084 0.484381885 2.234642 -2.06802 0.078538 -0.10297
30-Sep-1999 -0.42526 -0.00628 0.848361858 2.227336 -2.06802 0.541199 -0.10297
31-Oct-1999 -0.43913 0.018201 0.64097561 2.217042 -12.0077 -0.04855 1.045018
30-Nov-1999 -0.45004 0.060995 0.70195122 2.216873 -12.0077 -0.11247 1.045018
31-Dec-1999 -0.42495 0.09225 0.764563758 2.220119 -12.0077 -0.22295 1.045018
31-Jan-2000 -0.4491 -0.02844 -0.06110773 2.214452 0.817142 0.379517 1.014892
29-Feb-2000 -0.48727 0.07269 0.421884498 2.206044 0.817142 -0.23109 1.014892
31-Mar-2000 -0.5017 0.064287 0.957575758 2.192183 0.817142 0.081727 1.014892
30-Apr-2000 -0.52611 0.08418 -0.011407942 2.185607 0.830732 -0.34749 0.019913
31-May-2000 -0.556 0.042787 0.108929001 2.177744 0.830732 0.408849 0.019913
30-Jun-2000 -0.51316 0.061694 0.650445247 2.156357 0.830732 0.172395 0.019913
31-Jul-2000 -0.54094 -0.03589 -2.450731854 2.157846 -2.65515 -0.33209 0.933258
31-Aug-2000 -0.55373 0.037372 -2.698868941 2.150132 -2.65515 0.123515 0.933258
30-Sep-2000 -0.61009 0.07966 -2.655562835 2.121468 -2.65515 0.107924 0.933258
31-Oct-2000 -0.66398 0.084512 -2.341724138 2.126208 0.485273 -0.14351 0.507253
30-Nov-2000 -0.64875 0.036026 -2.343773024 2.104808 0.485273 0.011483 0.507253
31-Dec-2000 -0.59059 -0.01068 -2.403190731 2.108275 0.485273 -0.39146 0.507253
31-Jan-2001 -0.60404 0.040758 -2.297772512 2.092223 0.338955 1.013653 1.427303
28-Feb-2001 -0.64436 0.043963 -2.496431095 2.091243 0.338955 -0.30984 1.427303
31-Mar-2001 -0.71539 0.043103 -3.109439252 2.082596 0.338955 -0.1191 1.427303
30-Apr-2001 -0.6757 -0.04576 -2.860881494 2.055377 0.277209 0.142814 0.609911
31-May-2001 -0.67334 -0.04627 -2.51483965 2.056096 0.277209 -0.03886 0.609911
30-Jun-2001 -0.67826 0.042314 -2.881740139 2.048638 0.277209 -0.22218 0.609911
31-Jul-2001 -0.68498 -0.03882 0.249907407 2.022498 13.82067 -0.02162 -0.69776
31-Aug-2001 -0.62698 -0.17397 0.249907407 2.028315 13.82067 0.176186 -0.69776
30-Sep-2001 -0.70867 -0.23466 0.178244099 2.030132 13.82067 -0.32903 -0.69776
31-Oct-2001 -0.6826 -0.28036 -1.023563218 2.049688 -1.01853 0.831302 -2.22486
30-Nov-2001 -0.65393 -0.31271 -1.254537622 2.007749 -1.01853 -0.15248 -2.22486
31-Dec-2001 -0.67217 -0.35079 -1.598275862 1.989994 -1.01853 -0.05945 -2.22486
31-Jan-2002 -0.67767 -0.58957 -1.837795545 1.981862 0.066819 0.302137 -4.04988
28-Feb-2002 -0.66087 -0.76691 -1.842343572 1.980285 0.066819 0.155749 -4.04988
31-Mar-2002 -0.63186 -0.84337 -1.504404086 1.958515 0.066819 -0.40116 -4.04988
30-Apr-2002 -0.61674 -0.8988 -1.180655738 1.956036 -1.77984 0.335905 -2.36909
31-May-2002 -0.56669 -0.89068 -1.638232977 2.114886 -1.77984 0.041883 -2.36909
30-Jun-2002 -0.57128 -0.98444 -1.75258427 2.09291 -1.77984 -0.02077 -2.36909
31-Jul-2002 -0.60185 -0.88259 -1.745211268 2.123174 -4.31135 0.193683 -3.24534
31-Aug-2002 -0.59204 -0.94446 -1.407183099 2.143434 -4.31135 0.056886 -3.24534
30-Sep-2002 -0.60973 -1.07158 -1.695698261 2.12046 -4.31135 -0.11869 -3.24534
31-Oct-2002 -0.59167 -1.01002 -0.894113675 2.12147 -0.0474 -0.22045 -1.63064
30-Nov-2002 -0.57839 -1.05355 -0.721578354 2.129904 -0.0474 0.436575 -1.63064
31-Dec-2002 -0.56881 -0.99853 -0.543089983 2.121547 -0.0474 0.390286 -1.63064
31-Jan-2003 -0.53035 -0.99853 -0.692597403 2.124941 -0.02122 -0.34171 -1.60456
28-Feb-2003 -0.50187 -1.28631 -0.30912261 2.125798 -0.02122 0.158744 -1.60456
31-Mar-2003 -0.50484 -1.34303 -0.269865772 2.13889 -0.02122 -0.21608 -1.60456
30-Apr-2003 -0.47321 -1.34303 -0.385305895 2.118624 -3.4288 0.031897 -1.1939
31-Mar-2003 -0.50484 -1.34303 -0.269865772 2.13889 -0.02122 -0.21608 -1.60456
30-Apr-2003 -0.47321 -1.34303 -0.385305895 2.118624 -3.4288 0.031897 -1.1939
31-May-2003 -0.4274 -1.32493 -0.552157953 2.116751 -3.4288 0.063212 -1.1939
30-Jun-2003 -0.40437 -1.335 -0.497715397 2.116426 -3.4288 0.570351 -1.1939
31-Jul-2003 -0.42633 -1.32703 -0.480061077 2.117496 0.133039 -0.39156 0.005746
31-Aug-2003 -0.44629 -1.33333 -0.431726619 2.131094 0.133039 0.298569 0.005746
30-Sep-2003 -0.38552 -1.35929 -0.269558011 2.129143 0.133039 0.101258 0.005746
31-Oct-2003 -0.35013 -1.54819 -0.409183673 2.125976 0.279358 -0.09061 0.02115
30-Nov-2003 -0.32767 -1.54942 -0.684969664 2.122322 0.279358 -0.28466 0.02115
31-Dec-2003 -0.28768 -1.54819 -0.570508568 2.113843 0.279358 0.177126 0.02115
31-Jan-2004 -0.26866 -1.54819 -0.113747936 2.116851 -3.23939 0.122473 0.309425
29-Feb-2004 -0.26033 -1.68825 -0.3469361 2.099716 -3.23939 -0.12408 0.309425
31-Mar-2004 -0.27589 -1.67843 -0.302757872 2.106146 -3.23939 0.405283 0.309425
30-Apr-2004 -0.32573 -1.72811 -0.254907508 2.117672 0.652806 -0.18407 -0.38132
31-May-2004 -0.33645 -1.7146 0.511771117 2.118393 0.652806 0.012268 -0.38132
30-Jun-2004 -0.37266 -1.65823 0.726194883 2.122563 0.652806 -0.06912 -0.38132
31-Jul-2004 -0.35868 -1.65823 0.710755846 2.126631 0.518678 0.191095 -0.36534
31-Aug-2004 -0.3551 -1.65823 0.374387866 2.123681 0.518678 -0.00601 -0.36534
30-Sep-2004 -0.33589 -1.62867 0.257796976 2.124837 0.518678 0.122935 -0.36534
31-Oct-2004 -0.2929 -1.46999 0.669189189 2.122774 -1.28243 -0.31637 -0.45284
30-Nov-2004 -0.25167 -1.30055 1.00303523 2.108282 -1.28243 0.274611 -0.45284
31-Dec-2004 -0.24974 -1.18199 0.735561584 2.118507 -1.28243 0.106428 -0.45284
31-Jan-2005 -0.25567 -1.12663 0.599762419 2.120887 -4.05742 -0.0084 0.182399
28-Feb-2005 -0.23509 -1.00071 0.637518797 2.095738 -4.05742 -0.12911 0.182399
31-Mar-2005 -0.2589 -0.88812 0.778345784 2.10347 -4.05742 0.356564 0.182399
30-Apr-2005 -0.24705 -0.83405 1.030638298 2.094511 0.313079 -0.08488 0.563855
31-May-2005 -0.28011 -0.74194 0.322749868 2.077144 0.313079 -0.10548 0.563855
30-Jun-2005 -0.26958 -0.73784 0.050311017 2.07004 0.313079 -0.09573 0.563855
31-Jul-2005 -0.27509 -0.71442 0.077898627 2.079642 4.634925 0.303533 0.395284
31-Aug-2005 -0.29156 -0.60689 0.55116095 2.058338 4.634925 -0.04237 0.395284
30-Sep-2005 -0.27247 -0.59289 1.596677199 2.066674 4.634925 -0.13254 0.395284
31-Oct-2005 -0.28942 -0.54816 1.527826087 2.062497 -1.03663 -0.08173 -0.04449
30-Nov-2005 -0.30259 -0.45199 0.635497382 2.056695 -1.03663 0.262936 -0.04449
31-Dec-2005 -0.30966 -0.41827 0.595659485 2.054944 -1.03663 -0.19491 -0.04449
31-Jan-2006 -0.28635 -0.37502 1.065317252 2.040573 -8.37724 0.601303 -0.37326
28-Feb-2006 -0.30354 -0.31845 0.677497393 2.036871 -8.37724 -0.40043 -0.37326
31-Mar-2006 -0.33421 -0.30437 0.442648733 2.031596 -8.37724 0.353714 -0.37326
30-Apr-2006 -0.2821 -0.24846 -0.454265159 2.004043 0.168803 -0.18225 0.437012
31-May-2006 -0.26971 -0.2029 0.166666667 2.000464 0.168803 0.335092 0.437012
30-Jun-2006 -0.29666 -0.18087 0.318766067 1.998319 0.168803 -0.05934 0.437012
31-Jul-2006 -0.26683 -0.19305 0.185342886 1.978468 0.211136 -0.05187 0.482586
31-Aug-2006 -0.27089 -0.15183 -0.141262729 1.96866 0.211136 0.202043 0.482586
30-Sep-2006 -0.29035 -0.14176 -1.897625755 1.965727 0.211136 -0.16205 0.482586
31-Oct-2006 -0.2624 -0.09288 -2.034779116 1.950798 -4.3698 0.138242 -0.11107
30-Nov-2006 -0.24207 -0.13353 -1.366315789 1.944175 -4.3698 -0.0777 -0.11107
31-Dec-2006 -0.23408 -0.16632 -0.799349593 1.928371 -4.3698 0.080618 -0.11107
31-Jan-2007 -0.25877 -0.13353 -0.414357035 1.911054 0.396192 -0.02054 -0.74442
28-Feb-2007 -0.23826 -0.17435 -0.074801208 1.910679 0.396192 -0.20366 -0.74442
31-Mar-2007 -0.21443 -0.20621 0.288778779 1.885979 0.396192 0.441478 -0.74442
30-Apr-2007 -0.19019 -0.17435 0.47369727 1.878893 0.396725 -0.12417 -3.26695
31-May-2007 -0.1931 -0.17245 0.590864198 1.866888 0.396725 0.202971 -3.26695
30-Jun-2007 -0.16405 -0.21474 0.58703795 1.87624 0.396725 -0.19653 -3.26695
31-Jul-2007 -0.15408 -0.17435 0.508230958 1.821452 -1.58196 -0.05935 -3.39037
31-Aug-2007 -0.19675 -0.17435 0.120083374 1.832276 -1.58196 0.088544 -3.39037
30-Sep-2007 -0.12477 -0.20275 0.90505175 1.820379 -1.58196 -0.07266 -3.39037
31-Oct-2007 -0.08164 -0.17245 0.64617443 1.818604 0.224114 0.307101 -2.4669
30-Nov-2007 -0.12047 -0.25837 1.416203474 1.824087 0.224114 -0.27636 -2.4669
31-Dec-2007 -0.12602 -0.33125 1.191268583 1.805033 0.224114 -0.11019 -2.4669
31-Jan-2008 -0.11833 -0.31155 0.010294048 1.804615 -2.23258 0.570964 -1.85753
29-Feb-2008 -0.05488 -0.40644 -0.243444587 1.809929 -2.23258 0.110803 -1.85753
31-Mar-2008 -0.08556 -0.46345 -0.288543769 1.830872 -2.23258 -0.02556 -1.85753
30-Apr-2008 -0.0686 -0.53783 -0.513110225 1.827515 -1.53645 -0.18153 -2.31875
31-May-2008 -0.0451 -0.85398 -0.274456958 1.843337 -1.53645 -0.20326 -2.31875
30-Jun-2008 -0.03812 -1.02165 0.571790048 1.842853 -1.53645 0.51882 -2.31875
31-Jul-2008 -0.05826 -1.15683 0.6201229 1.809922 6.004784 -0.11341 -2.08643
31-Aug-2008 -0.1463 -1.36201 0.391855115 1.802709 6.004784 -0.2238 -2.08643
30-Sep-2008 -0.22364 -1.28785 -0.043072569 1.786317 6.004784 0.225068 -2.08643
31-Oct-2008 -0.40347 -1.28287 -0.044813723 1.826232 -1.00491 -0.22297 -3.19926
30-Nov-2008 -0.41977 -1.28509 -2.630425308 1.806919 -1.00491 0.066639 -3.19926
31-Dec-2008 -0.36701 -1.35258 -3.608587099 1.883285 -1.00491 -0.05486 -3.19926
31-Jan-2009 -0.44037 -1.82222 -2.410153496 1.956458 -1.81864 0.077441 -4.25162
28-Feb-2009 -0.43788 -2.44791 -2.203808912 1.934048 -1.81864 -0.41212 -4.25162
31-Mar-2009 -0.37498 -3.2795 -2.823556255 1.910242 -1.81864 0.61594 -4.25162
30-Apr-2009 -0.31952 -3.10309 -2.156885715 1.915765 -0.43259 -0.03224 -4.68478
31-May-2009 -0.2342 -2.65835 -2.701435799 1.932183 -0.43259 0.068917 -4.68478
30-Jun-2009 -0.20899 -2.89345 -2.846776044 1.914323 -0.43259 -0.13516 -4.68478
31-Jul-2009 -0.18862 -2.99573 -3.287161354 1.932739 -0.21422 -0.1036 -5.40936
31-Aug-2009 -0.17519 -2.8622 -2.674348612 1.949452 -0.21422 0.295855 -5.40936
30-Sep-2009 -0.12772 -2.65926 -2.476205967 1.925034 -0.21422 -0.01592 -5.40936
31-Oct-2009 -0.08763 -2.93119 -2.242848277 1.934044 -0.30279 0.135115 -4.32755
30-Nov-2009 -0.08578 -2.93119 -0.221704131 1.940701 -0.30279 -0.19239 -4.32755
31-Dec-2009 -0.10881 -2.99573 0.661331126 1.943611 -0.30279 0.313262 -4.32755
29-Jan-2010 -0.11552 -3.4761 -0.294291357 1.971115 0.300794 -0.09265 -2.87746
26-Feb-2010 -0.11665 -3.37303 -0.776668222 1.961894 0.300794 -0.1815 -2.87746
31-Mar-2010 -0.08785 -3.44202 -0.606040553 1.964638 0.300794 0.62441 -2.87746
30-Apr-2010 -0.07257 -3.52903 -0.883552804 1.961347 0.435403 -0.16878 -0.42481
31-May-2010 -0.1637 -3.36198 -1.099013916 1.953666 0.435403 -0.20534 -0.42481
30-Jun-2010 -0.15982 -3.21888 -2.066651027 1.962189 0.435403 0.053708 -0.42481
30-Jul-2010 -0.10692 -3.05636 -1.644807222 1.982221 -5.41592 0.070887 0.568811
31-Aug-2010 -0.11451 -3.11352 -1.731895438 1.95296 -5.41592 0.121501 0.568811
30-Sep-2010 -0.03387 -3.21888 -1.736317342 1.950834 -5.41592 0.153903 0.568811
29-Oct-2010 -0.02419 -3.21888 -1.587812394 1.958579 0.207575 -0.04611 0.822528
30-Nov-2010 -0.03895 -3.16481 -1.616839088 1.95538 0.207575 0.114482 0.822528
31-Dec-2010 0.016169 -3.16481 -1.264276473 1.975706 0.207575 -0.15835 0.822528
31-Jan-2011 -0.00763 -3.16481 -1.628153143 1.967595 -2.30294 -0.00102 0.116798
28-Feb-2011 0.016169 -3.21888 -1.152415371 1.968331 -2.30294 -0.03752 0.116798
31-Mar-2011 0.032854 -3.27294 -0.578396736 1.975122 -2.30294 0.278816 0.116798
29-Apr-2011 0.086178 -3.3301 -0.386369141 1.978702 -3.82934 -0.15613 0.056934
31-May-2011 0.068499 -3.39073 0.018645785 1.977544 -3.82934 0.182887 0.056934
30-Jun-2011 0.071297 -3.52426 0.008828252 1.998959 -3.82934 0.007735 0.056934
29-Jul-2011 0.09112 -3.86073 0.208715982 2.03488 0.021046 -0.04567 -0.92859
31-Aug-2011 0.066817 -3.96609 0.351208179 2.060303 0.021046 0.198571 -0.92859
30-Sep-2011 -0.02214 -3.96609 0.448356841 2.105005 0.021046 -0.09475 -0.92859
31-Oct-2011 0.049647 -4.2174 0.535199921 2.101838 0.219585 0.075504 -2.09088
30-Nov-2011 0.002098 -3.86073 0.404377591 2.10125 0.219585 0.097199 -2.09088
30-Dec-2011 0.01548 -4.08387 -0.027581155 2.127829 0.219585 -0.18207 -2.09088
31-Jan-2012 0.061753 -4.2174 1.295216712 2.134782 -3.6155 0.197706 -1.4715
29-Feb-2012 0.078441 -4.02981 1.24109878 2.152914 -3.6155 -0.10432 -1.4715
30-Mar-2012 0.039413 -4.10618 1.021398193 2.16774 -3.6155 0.121212 -1.4715
30-Apr-2012 0.044304 -3.97265 1.092739811 2.175142 -2.19784 -0.13857 -1.9928
31-May-2012 -0.02768 -3.7495 0.494253775 2.181507 -2.19784 0.184705 -1.9928
29-Jun-2012 0.01892 -3.48714 0.453993762 2.17589 -2.19784 -0.07915 -1.9928
31-Jul-2012 0.051263 -3.41303 -0.591549296 2.177491 -0.85715 0.126312 -1.52705
31-Aug-2012 0.029656 -3.15434 -0.307621002 2.258342 -0.85715 0.086336 -1.52705
28-Sep-2012 0.045356 -3.08534 -0.008717919 2.267727 -0.85715 -0.25373 -1.52705
31-Oct-2012 0.037103 -3.08534 -0.037656401 2.281221 1.611171 0.185643 -0.50176
30-Nov-2012 0.042197 -3.29298 -0.435866154 2.302783 1.611171 -0.1066 -0.50176
31-Dec-2012 0.037681 -3.21888 -0.458977631 2.298222 1.611171 -0.05033 -0.50176
31-Jan-2013 0.038644 -3.01124 -0.905135332 2.303996 -1.02875 0.058161 -1.13977
28-Feb-2013 0.027129 -3.01124 -0.52207649 2.306458 -1.02875 -0.18454 -1.13977
29-Mar-2013 0.041718 -2.93119 -1.026103787 2.320299 -1.02875 0.019075 -1.13977
30-Apr-2013 0.036139 -3.06473 -1.336914619 2.292867 -2.46993 -0.02836 -0.22896
31-May-2013 -0.03573 -2.99573 -1.038034941 2.312479 -2.46993 -0.02722 -0.22896
28-Jun-2013 -0.07526 -3.06473 -0.645583455 2.289749 -2.46993 -0.0263 -0.22896
31-Jul-2013 -0.10126 -2.99573 -0.239318388 2.293587 -0.07967 0.347742 -0.37908
30-Aug-2013 -0.11127 -3.21888 -0.68163244 2.302104 -0.07967 -0.23172 -0.37908
30-Sep-2013 -0.0716 -3.41955 -1.015074738 2.300315 -0.07967 -0.10964 -0.37908
31-Oct-2013 -0.05235 -3.41955 -1.736387295 2.296734 0.476047 0.354806 0.323171
29-Nov-2013 -0.09574 -3.53733 -1.462927795 2.30069 0.476047 -0.10109 0.323171
31-Dec-2013 -0.11116 -3.53733 -1.19826438 2.286816 0.476047 -0.29343 0.323171
31-Jan-2014 -0.13205 -3.41955 -1.321052632 2.292182 0.597365 0.50139 0.88241
28-Feb-2014 -0.11127 -3.53733 -1.77365075 2.302085 0.597365 -0.20409 0.88241
31-Mar-2014 -0.0811 -3.41955 -1.387797124 2.321978 0.597365 0.072039 0.88241
30-Apr-2014 -0.07397 -3.67086 -1.047142101 2.317412 0.125558 0.129119 -1.05881
30-May-2014 -0.07053 -3.67086 -0.87288845 2.319494 0.125558 -0.08297 -1.05881
30-Jun-2014 -0.05975 -3.53733 -0.927658627 2.321776 0.125558 -0.05497 -1.05881
31-Jul-2014 -0.06999 -3.41955 -0.307671364 2.316667 0.061744 0.101534 -0.18157
29-Aug-2014 -0.06732 -3.41955 -0.600388666 2.317494 0.061744 -0.12452 -0.18157
30-Sep-2014 -0.1333 -3.31419 -0.642081324 2.305494 0.061744 -0.02799 -0.18157
31-Oct-2014 -0.12727 -3.41955 -0.035659784 2.318423 0.323897 0.147244 -0.01424
28-Nov-2014 -0.16358 -3.41955 -0.377644818 2.316406 0.323897 -0.20513 -0.01424
31-Dec-2014 -0.19821 -3.41955 -0.94350673 2.314528 0.323897 -0.10521 -0.01424
Appendix 1. Regression data
Regression and Correlation
Observations 233 ANOVA
R Square 0.0002 df SS MS F p value
Standard Error 0.2085 Regression 1 0.0019 0.0019 0.0439 0.8342
Adjusted R Square 0.0000 Residual 231 10.0415 0.0435
Multiple R 0.0138 Total 232 10.04344082
Coefficients Standard Error t value p value
Intercept -0.2804 0.0157 -17.8780 0.0000
Economic no lag -0.0019 0.0090 -0.2096 0.8342 Forecast?
Regression and Correlation
Observations 233 ANOVA
R Square 0.0025 df SS MS F p value
Standard Error 0.2083 Regression 1 0.0253 0.0253 0.5843 0.4454
Adjusted R Square 0.0000 Residual 231 10.0181 0.0434
Multiple R 0.0502 Total 232 10.04344082
Coefficients Standard Error t value p value
Intercept -0.2847 0.0157 -18.1401 0.0000
Economic 1 month -0.0069 0.0090 -0.7644 0.4454 Forecast?
Regression and Correlation
Observations 233 ANOVA
R Square 0.0011 df SS MS F p value
Standard Error 0.2084 Regression 1 0.0105 0.0105 0.2429 0.6226
Adjusted R Square 0.0000 Residual 231 10.0329 0.0434
Multiple R 0.0324 Total 232 10.04344082
Coefficients Standard Error t value p value
Intercept -0.2826 0.0157 -18.0018 0.0000
Economic 2 month -0.0044 0.0090 -0.4928 0.6226 Forecast?
Appendix 2. Economic growth with lag
Appendix 3. Calculation of variables value @ 28/08/2015
Regression and Correlation
Observations 238 ANOVA
R Square 0.0054 df SS MS F p value
Standard Error 0.2058 Regression 1 0.0539 0.0539 1.2723 0.2605
Adjusted R Square 0.0011 Residual 236 9.9942 0.0423
Multiple R 0.0732 Total 237 10.04808331
Coefficients Standard Error t value p value
Intercept -0.2866 0.0153 -18.7683 0.0000
EG -0.0099 0.0088 -1.1280 0.2605 Forecast?
p-value Capital account
No lag 0.8342 Q2/2015 Q3/2015 Percentage change Aug-15 CapAcct at Aug-15
1 month 0.4454 Australia 68377 70862 0.03634263 0.01197
2 months 0.6226 United States-76454 -5745 0.924856777 0.24394
3 months 0.2496
Growth rate
Q3/2015 EG at Aug-15
Australia 2.55
United States 3
0.231969766
0.45