Exchange rate estimation and identifying the critical factors : a case study of AUD/USD | |
| Author | Jan, Jae-huei |
| Call Number | AIT Diss. no.DBA-SOM-19-02 |
| Subject(s) | Foreign exchange rates--Case studies Currency exchanges (Domestic) |
| Note | A dissertation submitted in partial fulfillment of the requirements for the degree of Doctor of Business Administration |
| Publisher | Asian Institute of Technology |
| Series Statement | Dissertation ; no. DBA-SOM-19-02 |
| Abstract | Currency exchange rate estimation plays a very important role in an entity economic activity as it determines the amount of profit. After the collapse of the Bretton Woods system in 1973, floating exchange rate system was adopted. The dynamic character of the floating exchange rate brings great uncertainty. Large and dynamically changing economic data affect currency exchange. Identifying the trends and key factors of currency estimation to improve economic activities is a challenging task. A total of 110 pieces of quarterly data from Bloomberg were used to simulate and analyse the AUD/USD trends and key factors in this study. To obtain the long-term AUD trends, quarterly data from 1988 to 2010 were collected as the base for this study to identify the AUD/USD patterns. Data from 2011 to 2014 were used to arrive at the model to estimate AUD/USD. The estimation observed that, when we treated the 2015 market data input in the developed models, AUD/USD downtrend slowed down indicating the presence of depreciation for the Australian dollar. In terms of factors, this research has identified two important results: (1) only Australian (AU) economic data or US economic data cannot fully reflect the AUD/USD trends. (2) the Australian participation rate and US Chicago Purchasing Manager Index data explain the current AUD/USD trend the best. EUR influences AUD more than the other main world currencies. The six-month Australian interest rate has more impact on AUD/USD trends than the Australian three-month interest rate. The six-month Australian interest rate affects AUD/USD trends more than the six-month interest difference between AUD and USD. These two findings are different from the general market perception that (1) AUD trends will be explained by AUD economic data and (2) GDP, CPI, labour costs or unemployment rate and the three-month interest rate are recognised as the most influential factors for currency. |
| Year | 2019 |
| Corresponding Series Added Entry | Asian Institute of Technology.Dissertation ; no. DBA-SOM-19-02 |
| Type | Dissertation |
| School | School of Management |
| Department | Other Field of Studies (No Department) |
| Academic Program/FoS | Doctor of Philosophy in Business Administration (Publication code = DBA-SM, SM) |
| Chairperson(s) | Gopalaswamy, Arun Kumar |
| Examination Committee(s) | Badir, Yousre;Mongkol Ekpanyapong;Supasith Chonglerttham |
| Degree | Thesis (Ph.D.) - Asian Institute of Technology, 2019 |