oa Journal of Economic and Financial Sciences - The co-movement between copper prices and the exchange rate of five major commodity currencies
|Article Title||The co-movement between copper prices and the exchange rate of five major commodity currencies|
|© Publisher:||University of Johannesburg|
|Journal||Journal of Economic and Financial Sciences|
|Affiliations||1 University of Johannesburg and 2 University of Johannesburg|
|Publication Date||Oct 2013|
|Pages||773 - 794|
|Keyword(s)||Co-movement, Commodities, Commodity currencies, Copper, Correlation and Exchange rates|
In this study, the relationship between movements in the exchange rates of five commodity currencies (Australia, Canada, Chile, China, and South Africa) in terms of the United States Dollar (USD) and the spot USD copper price was analysed. Correlation and regression analysis (including the use of lagged variables) was used to investigate these relationships. It was found that four of the five commodity currency exchange rates have a strong co-movement relationship with copper price (i.e. the Australian Dollar, Canadian Dollar, Chilean Peso, and the South African Rand). The only exchange rate that does not have a co-movement relationship with copper prices is the Chinese Yuan. This article is based on a master's minor dissertation study.
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