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Spillover effects between commodities and the Australian dollar

Author

Listed:
  • Peter Albrecht

    (Department of Economics, Faculty of Business and Economics, Mendel University in Brno, Zemedelska 1, 613 00 Brno, Czech Republic)

Abstract

The paper investigates the volatility spillover effects between commodities exported by Australia and the Australian dollar. These findings give better information about the transmissions of shocks between commodities and the Australian currency. We find that the spillover effects on the Australian dollar are more connected to herd behaviour than to export commodities. The research is carried out using a time-varying approach as per the methodology used by Diebold and Yilmaz (2009). We identify the commodities that transmit volatility to the currency but also the currencies that obtain volatility from Australian dollar. Further, we bring evidence that the AUD reacts more quickly to shocks than the commodities but over the longer term it obtains volatility from these commodities during periods of economic turbulence. The study provides specific investment recommendations for investors whose assets are held in AUD.

Suggested Citation

  • Peter Albrecht, 2023. "Spillover effects between commodities and the Australian dollar," MENDELU Working Papers in Business and Economics 2023-88, Mendel University in Brno, Faculty of Business and Economics.
    • Handle: RePEc:men:wpaper:88_2023
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    More about this item

    Keywords

    Spillovers; connectedness; commodities; exchange rates;
    All these keywords.

    JEL classification:

    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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