Here we investigate the relationship between export commodity prices and AUD/USD exchange rate fluctuation using time varying parameter model. Using monthly data for over 30 years we found that exchange rate is determined by commodity prices and Australian base metal indices is highly correlated with country’s exchange rate. We have considered linear Gaussian state space model where common variance is treated as a stochastic time varying variable which gets considered for modeling economic time series.

中文翻译：

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澳大利亚经济中的商品价格和汇率趋势：时变参数模型方法

在这里，我们使用时变参数模型研究出口商品价格与澳元/美元汇率波动之间的关系。使用 30 多年的月度数据，我们发现汇率由商品价格决定，澳大利亚基本金属指数与国家汇率高度相关。我们已经考虑了线性高斯状态空间模型，其中公共方差被视为随机时变变量，被考虑用于建模经济时间序列。