Preprint
The Determinants of Australian Exchange Rate: A Time Series Analysis
The paper analyzes Australian exchange rate and its determinants by providing an insight into the economic and non-economic factors. By drawing a comparison between quarterly and annual data over the period of 1975 to 2012, it is suggested that Australia’s trade components and macroeconomic indicators such as output and liquidity relative to the US, play a significant role in determination of its exchange rates. However, interest rate and inflation appear insignificant in this relationship. The study also emphasizes on the pertinence of unobservable effects such as political events and external shocks in influencing the exchange rate. Engle-Granger Cointegration test exhibits a long run relationship between exchange rate and its determinants, and corroborates the substantial role of macroeconomic indicators in diminishing the uncertainty in foreign exchange market.
- Language
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Englisch
- Classification
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Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Foreign Exchange
- Subject
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Exchange Rate
Backward Elimination
Exchange rate
- Event
-
Geistige Schöpfung
- (who)
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Atif, Syed Muhammad
Sauytbekova, Moldir
Macdonald, James
- Event
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Veröffentlichung
- (who)
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft
- (where)
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Kiel und Hamburg
- (when)
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2012
- Handle
- Last update
-
10.03.2025, 11:46 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Preprint
Associated
- Atif, Syed Muhammad
- Sauytbekova, Moldir
- Macdonald, James
- ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft
Time of origin
- 2012
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