scholarly journals Modelling Australian Dollar Volatility at Multiple Horizons with High-Frequency Data

Risks ◽  
2020 ◽  
Vol 8 (3) ◽  
pp. 89
Author(s):  
Long Hai Vo ◽  
Duc Hong Vo
Keyword(s):  
Exchange Rate ◽  
Long Range ◽  
Policy Implications ◽  
Long Range Dependence ◽  
Australian Dollar ◽  
Optimal Trading ◽  
Australian Economy ◽  
Us Dollar ◽  
Commodity Currencies ◽  
Memory Characteristics

Long-range dependency of the volatility of exchange-rate time series plays a crucial role in the evaluation of exchange-rate risks, in particular for the commodity currencies. The Australian dollar is currently holding the fifth rank in the global top 10 most frequently traded currencies. The popularity of the Aussie dollar among currency traders belongs to the so-called three G’s—Geology, Geography and Government policy. The Australian economy is largely driven by commodities. The strength of the Australian dollar is counter-cyclical relative to other currencies and ties proximately to the geographical, commercial linkage with Asia and the commodity cycle. As such, we consider that the Australian dollar presents strong characteristics of the commodity currency. In this study, we provide an examination of the Australian dollar–US dollar rates. For the period from 18:05, 7th August 2019 to 9:25, 16th September 2019 with a total of 8481 observations, a wavelet-based approach that allows for modelling long-memory characteristics of this currency pair at different trading horizons is used in our analysis. Findings from our analysis indicate that long-range dependence in volatility is observed and it is persistent across horizons. However, this long-range dependence in volatility is most prominent at the horizon longer than daily. Policy implications have emerged based on the findings of this paper in relation to the important determinant of volatility dynamics, which can be incorporated in optimal trading strategies and policy implications.

Relationship between the gold price and the Australian dollar - US dollar exchange rate

2015 ◽  
Vol 28 (1-2) ◽  
pp. 65-78 ◽  
Author(s):  
Md. Aminul Haque ◽  
Erkan Topal ◽  
Eric Lilford
Keyword(s):  
Exchange Rate ◽  
Gold Price ◽  
Dollar Exchange Rate ◽  
Australian Dollar ◽  
Us Dollar

Modelling tourism receipts and associated risks, using long-range dependence models

2019 ◽  
Vol 26 (1) ◽  
pp. 70-96
Author(s):  
Jorge V Pérez-Rodríguez ◽  
María Santana-Gallego
Keyword(s):  
Long Range ◽  
Growth Rates ◽  
Value At Risk ◽  
Policy Implications ◽  
Risk Exposure ◽  
Long Range Dependence ◽  
Monthly Data ◽  
Management Measures ◽  
Out Of Sample ◽  
Autoregressive Conditional Heteroscedasticity

Tourism receipts have important policy implications for destination countries in terms of government revenues and the management of tourism-related policies. This article uses time series models to analyse the risk exposure reflected in the growth rates of tourism revenues. To do so, we apply risk management measures based on value-at-risk (VaR) and the expected shortfall (ES), analysing monthly data for six Spanish regions from January 2004 to March 2017. Two main results were obtained. Firstly, tourism receipt growth rates present negative long-range dependence. In other words, they have intermediate memory or anti-persistence and therefore show signs of dependence between widely separated observations. Moreover, we detected the existence of long-range dependence in these volatilities in one of the six regions considered. Secondly, we show that VaR based on Generalized Autoregressive Conditional Heteroscedasticity (GARCH)-type models is a valid means of analysing the risk exposure of tourism receipt growth rates, doing so by evaluating various in-sample and out-of-sample VaR thresholds and the ES.

scholarly journals Influence Of Australian Coal Export On A$/US$ Exchange Rate: A Longitudinal Study

2012 ◽  
Vol 11 (4) ◽  
pp. 397 ◽  
Author(s):  
Md. Liakat Ali ◽  
Sheikh F. Rahman
Keyword(s):  
Exchange Rate ◽  
Longitudinal Study ◽  
Positive Relationship ◽  
Dollar Exchange Rate ◽  
Quarterly Data ◽  
Australian Dollar ◽  
The Us ◽  
Australian Coal ◽  
Us Dollar ◽  
The Exchange Rate

This paper investigates the contribution of Australian coal export to determine the exchange rate of Australian dollar with the US dollar. The quarterly data of Australian coal export and the Australian dollar exchange rate from 1992-2009 are employed to measure the influence of Australian coal export on A$/US$ exchange rate. This study finds that the Australian coal export has a positive relationship with the exchange rate of A$/US$ and their relationship is becoming stronger. The findings of this research suggest that the volume of Australian coal export contributes about 8% to determine the exchange rate of A$/US$ between the period of 1992-2009. The results of this analysis confirm that for each one million tonnes export increase of Australian coal, the Australian dollar value against the US$ increases by 0.002450 USD.

scholarly journals International Evidence On Purchasing Power Parity Theory: A Partial Equilibrium Empirical Investigation

2011 ◽  
Vol 7 (5) ◽  
Author(s):  
Bahram Adrangi ◽  
Mary Allender ◽  
Kambiz Raffiee
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Purchasing Power Parity ◽  
Fourth Quarter ◽  
Partial Equilibrium ◽  
Purchasing Power ◽  
Power Parity ◽  
Australian Dollar ◽  
Bilateral Exchange ◽  
Us Dollar

This paper tests the Purchasing Power Parity (PPP) theory in a partial equilibrium framework. Statistical tests are employed to test the PPP theory for floating exchange rates of the Australian and Canadian dollars, Swiss frank and the British pound. The study period spans the fourth quarter of 1974 through the fourth quarter of 2006. The Johansen and Juselieus test of cointegration supports a long-run relationship between inflation and exchange rate predicted by the PPP theory only for the bilateral exchange rates of the pound and the Australian dollar. This evidence suggests that the PPP in its strict theoretical sense in the case of the bilateral exchange rate of the US dollar and Australian dollar is rejected but not for the case of the exchange rate of the pound and US dollar. However, the Granger causality test further supports the findings of the cointegration test. It shows that in the short-run, the money supply and GDP ratios Granger cause the movements of this exchange rate.

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