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Identifying factors in currency exchange rate estimation: a study on AUD against USD

机译：货币汇率估计中的识别因素：澳元兑美元的研究

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Purpose - The purpose of this paper is to estimate long-term currency exchange rate and also identify the key factors for decision makers in the currency exchange market. The study is expected to aid decision makers to take positions in the dynamic Forex market. Design/methodology/approach - This study is based on quantitative and fundamental analysis of statistically oriented regression models. The trend of quarterly exchange rates is investigated using 110 variables including economic elements, interest rate and other currencies. This research is based on the same information that banks' dealers use for the analysis. Ordinary least squares linear regression also known as "least squared errors regression" was used to estimate the value of the dependent variable. Findings - The study concludes that "only Australian economic data" or "only the US economic data" cannot fully reflect the trend of AUD/USD. EUR influences AUD relatively larger than the other main market currencies. Six-month Australian interest rate itself affects AUD/USD trend much more than the six-month interest difference between AUD and USD. Research limitations/implications - The results indicate that the economic autoregressive moving average model can be used to predict future exchange rate using primary factors identified and not from the generic market or economic view. This helps adjust to the general, common (and possibly wrong) views when making a buy or sell decision. Originality/value - This is one of the first studies in the context using the information of bank dealers for AUD/USD. This study is highly relevant in the current context, given the significant growth in Forex trade.
机译：目的-本文的目的是估计长期货币汇率，并确定货币汇率市场决策者的关键因素。该研究有望帮助决策者在充满活力的外汇市场中占据一席之地。设计/方法/方法-这项研究基于对统计导向的回归模型的定量和基本分析。使用110个变量（包括经济要素，利率和其他货币）来调查季度汇率的趋势。该研究基于银行交易商用于分析的相同信息。普通最小二乘线性回归也称为“最小二乘误差回归”，用于估计因变量的值。结果-研究得出的结论是，“仅澳大利亚经济数据”或“仅美国经济数据”不能完全反映澳元/美元的趋势。欧元对澳元的影响相对大于其他主要市场货币。澳大利亚六个月的利率本身对澳元/美元走势的影响远大于澳元和美元六个月的利率差。研究的局限性/结果-结果表明，经济自回归移动平均模型可用于使用确定的主要因素来预测未来汇率，而不是从一般市场或经济角度出发。这有助于在做出购买或出售决策时适应一般，常见（甚至可能是错误的）观点。原创性/价值-这是使用银行交易商的AUD / USD信息进行的最早研究之一。鉴于外汇贸易的显着增长，该研究在当前背景下具有高度相关性。

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