IDEAS home Printed from https://ideas.repec.org/a/bla/reviec/v7y1999i2p265-79.html
   My bibliography  Save this article

Modeling the Australian Dollar-US Dollar Exchange Rate Using Cointegration Techniques

Author

Listed:
  • Karfakis, Costas
  • Phipps, Anthony

Abstract

This paper examines the link between the Australian dollar's exchange rate and Australia's terms of trade. The US$/A$ rate is found to be cointegrated with the terms of trade, and the relationship between the two variables appears to be robust. An estimated error-correction model for changes in the nominal US$/A$ is shown to have reasonable out-of-sample predictive powers. Weak exogeneity tests within the Johansen framework indicate highly significant causality running from the terms of trade to the exchange rate but less significant causality running from the exchange rate to the terms of trade. Copyright 1999 by Blackwell Publishing Ltd.

Suggested Citation

  • Karfakis, Costas & Phipps, Anthony, 1999. "Modeling the Australian Dollar-US Dollar Exchange Rate Using Cointegration Techniques," Review of International Economics, Wiley Blackwell, vol. 7(2), pages 265-279, May.
    • Handle: RePEc:bla:reviec:v:7:y:1999:i:2:p:265-79
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. M. Thomas Paul & G. R. Motlaleng, 2006. "The South African Rand-USA Dollar Exchange Rates and the Terms of Trade," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 4(2), pages 130-150, July.
    2. Sanidas, Elias, 2005. "The Australian Dollar's Long-Term Fluctuations and Trend: The Commodity Prices-cum-Economic Cycles Hypothesis," Economics Working Papers wp05-29, School of Economics, University of Wollongong, NSW, Australia.
    3. Hatzinikolaou, Dimitris & Polasek, Metodey, 2005. "The Commodity-Currency View of the Australian Dollar: A Multivariate Cointegration Approach," Journal of Applied Economics, Universidad del CEMA, vol. 8(1), pages 1-19, May.
    4. Reza Y. Siregar & Choo Lay Har, 2001. "Economic Fundamentals and Managed Floating Exchange Rate Regime in Singapore," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 26(1), pages 133-148, June.
    5. Dungey, Mardi, 2004. "Identifying terms of trade effects in real exchange rate movements: evidence from Asia," Journal of Asian Economics, Elsevier, vol. 15(2), pages 217-235, April.
    6. Tsen, Wong Hock, 2011. "The real exchange rate determination: An empirical investigation," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 800-811, October.
    7. Cortes, Maria, 2007. "Examining Patterns of Bilateral Trade between Australia and Colombia by Using Cointegration Analysis and Error-Correction Models," Economics Working Papers wp07-20, School of Economics, University of Wollongong, NSW, Australia.
    8. Carmen Mar? Mart?ez, 2003. "The Structural Approach of a Natrex Model on Equilibrium Exchange Rates," UFAE and IAE Working Papers 588.03, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
    9. Narayan, Paresh Kumar & Wong, Philip, 2009. "A panel data analysis of the determinants of oil consumption: The case of Australia," Applied Energy, Elsevier, vol. 86(12), pages 2771-2775, December.
    10. CHINEZELUM Ezebilo & AKANEGBU Benedict & MUHAMMAD Maimuna Yakubu, 2023. "Effect of Monetary Policy on Food Inflation in Nigeria: A Nardl Structural Approach," Advances in Management and Applied Economics, SCIENPRESS Ltd, vol. 13(5), pages 1-6.
    11. Sanidas, Elias, 2014. "Four harmonic cycles explain and predict commodity currencies' wide long term fluctuations," Technological Forecasting and Social Change, Elsevier, vol. 87(C), pages 135-151.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:reviec:v:7:y:1999:i:2:p:265-79. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0965-7576 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.