Dynamic Short-term Exchange Rate Model for Commodity Currencies
(2011) NEKK01 20111Department of Economics
- Abstract
- This paper examines the short run impact of commodity prices and traditional exchange rate determinants on the exchange rates of Australia and New Zealand against the U.S. dollar. Using a multiple OLS regression we find that for both countries the commodity price variable has a significant effect on the exchange rate. We also find that inflation differentials has an effect, although positive, which suggests expectation effects. Moreover, we find that for Australia the short-term interest rate spread has a positive effect on the exchange rate,
contradicting the theory.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/2270032
- author
- Knutsson, Oskar LU
- supervisor
-
- Birger Nilsson LU
- Karl Larsson LU
- organization
- course
- NEKK01 20111
- year
- 2011
- type
- M2 - Bachelor Degree
- subject
- keywords
- Dynamic Short-term Exchange Rate Model, Commodity currency, Commodity Currencies
- language
- English
- id
- 2270032
- date added to LUP
- 2011-12-27 13:15:31
- date last changed
- 2011-12-27 13:15:31
@misc{2270032,
abstract = {{This paper examines the short run impact of commodity prices and traditional exchange rate determinants on the exchange rates of Australia and New Zealand against the U.S. dollar. Using a multiple OLS regression we find that for both countries the commodity price variable has a significant effect on the exchange rate. We also find that inflation differentials has an effect, although positive, which suggests expectation effects. Moreover, we find that for Australia the short-term interest rate spread has a positive effect on the exchange rate,
contradicting the theory.}},
author = {{Knutsson, Oskar}},
language = {{eng}},
note = {{Student Paper}},
title = {{Dynamic Short-term Exchange Rate Model for Commodity Currencies}},
year = {{2011}},
}