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Asia-Pacific Financial Markets
Erschienen in: Asia-Pacific Financial Markets 3/2020

14.01.2020 | Original Research

Trend of Commodity Prices and Exchange Rate in Australian Economy: Time Varying Parameter Model Approach

verfasst von: Debasish Roy, Ramaprasad Bhar

Erschienen in: Asia-Pacific Financial Markets | Ausgabe 3/2020

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Abstract

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.
Vorheriger Artikel US Economic Policy Uncertainty and GCC Stock Market
Nächster Artikel Market Participation Willingness and Investor’s Herding Behavior: Evidence from an Emerging Market

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Metadaten
Titel
Trend of Commodity Prices and Exchange Rate in Australian Economy: Time Varying Parameter Model Approach
verfasst von
Debasish Roy
Ramaprasad Bhar
Publikationsdatum
14.01.2020
Verlag
Springer Japan
Erschienen in
Asia-Pacific Financial Markets / Ausgabe 3/2020
Print ISSN: 1387-2834
Elektronische ISSN: 1573-6946
DOI
https://doi.org/10.1007/s10690-020-09301-9

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