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Dynamic Short-term Exchange Rate Model for Commodity Currencies

Knutsson, Oskar LU (2011) NEKK01 20111
Department 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.
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author
Knutsson, Oskar LU
supervisor
organization
course
NEKK01 20111
year
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},
  keyword      = {Dynamic Short-term Exchange Rate Model,Commodity currency,Commodity Currencies},
  language     = {eng},
  note         = {Student Paper},
  title        = {Dynamic Short-term Exchange Rate Model for Commodity Currencies},
  year         = {2011},
}