| Summary: | 碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 101 === This paper is to examine the relationship between AUD exchange rate and some macroeconomic variables. Applying unit root test, cointegration test, error correction models to investigate the relationship over the period from January 1994 to September 2012. The empirical results of this study are summarized as follows:
First, the empirical results of Johensen’s cointegration showed that there is existence of the cointegration of exchange rate, M1, IPI, interest rate and CRB index, which implied there is a long-run equilibrium relationship among these variables. The increasing of Australian M1 and interest rate will make AUD dollar depreciate, but the increasing of the Australian IPI and CRB index will make AUD dollar appreciate.
Second, according to the results of the error correction model, it is bi-directional causality between IPI and exchange rate or CBR index, but there is no causality between money supply, interest rates and exchange rates.
Keywords：Australian dollar, Exchange rate, Unit root test, Cointegration, Causality test.
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