Abstract
| Original language | English |
|---|---|
| Pages (from-to) | 159-170 |
| Journal | Australian Economic Papers |
| Volume | 52 |
| Issue number | 3-4 |
| DOIs | |
| Publication status | Published - 2013 |
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Stock Prices and Exchange Rates in Australia: Are Commodity Prices the Missing Link? / Groenewold, Nicolaas; Paterson, J.E.H.
In: Australian Economic Papers, Vol. 52, No. 3-4, 2013, p. 159-170.Research output: Contribution to journal › Article
TY - JOUR
T1 - Stock Prices and Exchange Rates in Australia: Are Commodity Prices the Missing Link?
AU - Groenewold, Nicolaas
AU - Paterson, J.E.H.
PY - 2013
Y1 - 2013
N2 - There are still significant gaps in our knowledge of the relationship between stock prices and exchange rates; not least, the ambiguity about the sign of the coefficient linking them. One explanation which we explore in the Australian context in this paper is the omission of commodity prices. We show that a relationship which omits commodity prices performs poorly but, once commodity prices are added, our results are plausible and robust. We also throw light on the commodity-currency issue: the link from the exchange rate to commodity prices is stronger and more consistent than that in the opposite direction. © 2013 University of Adelaide and Flinders University and Wiley Publishing Asia Pty Ltd.
AB - There are still significant gaps in our knowledge of the relationship between stock prices and exchange rates; not least, the ambiguity about the sign of the coefficient linking them. One explanation which we explore in the Australian context in this paper is the omission of commodity prices. We show that a relationship which omits commodity prices performs poorly but, once commodity prices are added, our results are plausible and robust. We also throw light on the commodity-currency issue: the link from the exchange rate to commodity prices is stronger and more consistent than that in the opposite direction. © 2013 University of Adelaide and Flinders University and Wiley Publishing Asia Pty Ltd.
U2 - 10.1111/1467-8454.12014
DO - 10.1111/1467-8454.12014
M3 - Article
VL - 52
SP - 159
EP - 170
JO - Australian Economic Papers
JF - Australian Economic Papers
SN - 0004-900X
IS - 3-4
ER -