Dynamics of the currency exchange rates against the AUD: Analytical and risk mitigation perspectives

Tasadduq Imam, Abdullahi Ahmed, Kevin Tickle

    Research output: Contribution to journalArticle

    Abstract

    In recent era, the volatility of exchange rates has drawn considerable notice, especially in the light of huge losses from foreign exchange derivatives by several major firms during the Global Financial Crisis. Australia stands out as a major economy in contemporary arena, and there have been incidents of such loss from derivatives tied to exchange rates against the Australian Dollar (AUD). Under this context, this article aims to characterize the economical aspects of Australia's major trading partners with a view to guiding corporate governance community in respect to risk mitigation actions. The time span considered is January 1999-May 2011, and 14 major currencies are incorporated in this research. The research scrutinizes the statistical and stochastic properties of the exchange rates, and segments the Australia's trading partners in terms of these aspects. The results further show that consideration of grouping produces a better approximation of the strength of Australian Dollar in the global context.

    Original languageEnglish
    Pages (from-to)278-291
    Number of pages14
    JournalCorporate Ownership and Control
    Volume10
    Issue number3 D,CONT3
    DOIs
    Publication statusPublished - 2013

    Keywords

    • Corporate governance
    • Exchange rates
    • Hedging risk
    • Linear modelling

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