A. Analyse the statistical significance of the coefficient estimates in Table 1 at the 5% lev B.Consider both the F-statistic (at the 5% level of significance) and the adjusted R- squared as t forecast horizon increases from 1 quarter to 3 years. Interpret these figures for the 3-year horiz output in Table 1. Provide some commentary and briefly discuss whether such results a consistent with PPP theory.
A. Analyse the statistical significance of the coefficient estimates in Table 1 at the 5% lev B.Consider both the F-statistic (at the 5% level of significance) and the adjusted R- squared as t forecast horizon increases from 1 quarter to 3 years. Interpret these figures for the 3-year horiz output in Table 1. Provide some commentary and briefly discuss whether such results a consistent with PPP theory.
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
Related questions
Question
100%
Please solve With the all subparts with the step and explaining solution. Please no reject thank u
Transcribed Image Text:A. Analyse the statistical significance of the coefficient estimates in Table 1 at the 5% level.
B.Consider both the F-statistic (at the 5% level of significance) and the adjusted R- squared as the
forecast horizon increases from 1 quarter to 3 years. Interpret these figures for the 3-year horizon
output in Table 1. Provide some commentary and briefly discuss whether such results are
consistent with PPP theory.
C. Which macroeconomic variable(s) are considered statistically significant at the 5% level) and
economically important for modelling changes in the USD/AUD exchange rate? Are you surprised
by these results?
D. The latest forecasts of the key macroeconomic variables are:
Use these values to estimate the change
Macroeconomic Variable
Real GDP Growth (Australia)
Real GDP Growth (US)
Expected Inflation Rate (Australia)
Expected Inflation Rate (US)
Interest Rate (Australia)
Interest Rate (US)
Forecast
3.20%
3.30%
in the USD/AUD exchange rate in 1
years' time. Which currency is expected
3.012%
5.288%
to appreciate based on your calculation?
1.638%
1.579%
Is this consistent with PPP theory?
Transcribed Image Text:5. Consider the following econometric structural model of the USD/AUD exchange rate:
AUSD/AUD =B +B AGDP +B AGDP +B InfRD +B INTRD +e
t01 Aus,t 2 US,t 3 t4tt (1)
where
AUSD/AUD, is the change in the USD/AUD exchange rate over period t.
AGDP is the annual percentage growth rate in real GDP over period t:
InfRD, is the inflation rate differential for period : IntRD; is the interest rate differential for period
Table 1 below summarises the regression output of the model presented in Equation 1 using
selected forecast horizons: a 1-quarter horizon, 1-year horizon and a 3-year horizon.
Table 1.
Variable/Particular
1-quarter
horizon
0.005
(0.732)
0.802
1-year
horizon
0.027
3-year
horizon
0.708
Intercept
(0.421)
1.697
(0.000)
-1.260
(0.502)
1.162
Real GDP Growth Aus
(0.304)
-1.041
(0.063)
1.079
(0.307)
-2.363
(0.03)
2.775
Real GDP Growth US
(0.180)
-0.940
Inflation Rate Differential
(0.222)
-0.818
(0.114)
-2.738
(0.183)
9.83%
2.772
(0.597)
12.151
Interest Rate Differential
Adjusted R-squared
F-stat
(0.439)
4.20%
1.749
(0.150)
69
(0.000)
41.22%
10.991
(0.000)
58
Number of observations
(0.035)
66
Note: all numbers appearing in parentheses are p-values.
You will need to refer to Table 1 to answer the questions below. Provide concise responses.
Expert Solution
This question has been solved!
Explore an expertly crafted, step-by-step solution for a thorough understanding of key concepts.
This is a popular solution!
Trending now
This is a popular solution!
Step by step
Solved in 3 steps
Recommended textbooks for you
MATLAB: An Introduction with Applications
Statistics
ISBN:
9781119256830
Author:
Amos Gilat
Publisher:
John Wiley & Sons Inc
Probability and Statistics for Engineering and th…
Statistics
ISBN:
9781305251809
Author:
Jay L. Devore
Publisher:
Cengage Learning
Statistics for The Behavioral Sciences (MindTap C…
Statistics
ISBN:
9781305504912
Author:
Frederick J Gravetter, Larry B. Wallnau
Publisher:
Cengage Learning
MATLAB: An Introduction with Applications
Statistics
ISBN:
9781119256830
Author:
Amos Gilat
Publisher:
John Wiley & Sons Inc
Probability and Statistics for Engineering and th…
Statistics
ISBN:
9781305251809
Author:
Jay L. Devore
Publisher:
Cengage Learning
Statistics for The Behavioral Sciences (MindTap C…
Statistics
ISBN:
9781305504912
Author:
Frederick J Gravetter, Larry B. Wallnau
Publisher:
Cengage Learning
Elementary Statistics: Picturing the World (7th E…
Statistics
ISBN:
9780134683416
Author:
Ron Larson, Betsy Farber
Publisher:
PEARSON
The Basic Practice of Statistics
Statistics
ISBN:
9781319042578
Author:
David S. Moore, William I. Notz, Michael A. Fligner
Publisher:
W. H. Freeman
Introduction to the Practice of Statistics
Statistics
ISBN:
9781319013387
Author:
David S. Moore, George P. McCabe, Bruce A. Craig
Publisher:
W. H. Freeman