A Proposal for: 'Causal Links between Prices and Exchange Rates'

19 Pages Posted: 21 Aug 2003

See all articles by Jack H.W. Penm

Jack H.W. Penm

Australian National University - School of Finance and Applied Statistics, Faculty of Economics and Commerce

R. Deane Terrell

Australian National University (ANU) - National Graduate School of Management

Soushan Wu

Securities & Futures Institute

Date Written: May 2003

Abstract

The primary focus of this study will be an analysis of the causal links, and an assessment of the causal positioning of the significant variables involved in the interactions, between prices and exchange rates. Do exchange rate movements lead to associated price changes or do price changes lead to exchange rate movements? We will further consider whether such responses are short-term or long-term in nature and whether it is possible in a complex sequential process to detect feedback loops. New zero-non-zero patterned vector time series techniques will be used to investigate the emergence of deflation and exchange rate crises.

Keywords: Causal links, Price deflation, exchange rate crises

JEL Classification: G15

Suggested Citation

Penm, Jack and Terrell, R. Deane and Wu, Soushan, A Proposal for: 'Causal Links between Prices and Exchange Rates' (May 2003). Available at SSRN: https://ssrn.com/abstract=430180 or http://dx.doi.org/10.2139/ssrn.430180

Jack Penm (Contact Author)

Australian National University - School of Finance and Applied Statistics, Faculty of Economics and Commerce ( email )

Canberra, Australian Capital Territory 0200
Australia
+61 (02) 61250535 (Phone)
+61 (02) 61250087 (Fax)

R. Deane Terrell

Australian National University (ANU) - National Graduate School of Management ( email )

Sir Roland Wilson Building (120)
Canberra, Australian Capital Territory 0200
Australia

Soushan Wu

Securities & Futures Institute ( email )

9F, 3, Nan-Hai Rd.
Taipei, 10066
Taiwan

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