In this paper we analyze the influence of currency movements on the value of Australian firms listed on the S&P ASX 100 index for a period from 1980-2010 using daily, weekly, monthly and quarterly returns. We estimate unconditional and conditional exchange rate exposure and find a significant...

It is well known that US dollar gold prices are negatively related to the value of the US dollar and that gold prices denominated in other currencies are negatively related to these currencies. But how strong is this relationship for each currency and what is its cause? This paper provides new...

The correlation between equity returns and currency returns affects the risk of international equity portfolios. We analyze the equity index and currency returns of 53 countries and find that correlations are mainly positive. Negative correlations are found for currencies which play a special...

This paper uses a theoretical model to analyse the dynamic relationship of virtual currency with fiat currency. The model demonstrates that the price impact of potential users and speculators in virtual currencies adversely affects their property as a medium of exchange and renders a crowding...

Dyhrberg (2016) analyzes the relationship between Bitcoin, gold and the US dollar within a GARCH framework and states that Bitcoin can be classified as something in between gold and the US dollar. This paper uses the same sample and econometric models to replicate the findings and demonstrates...

The paper analyses the causality between the Japanese-US relative export prices and the yen-dollar exchange rate. It explains why the Japanese yen proved strong even during the economic slump of the 1990s. The paper suggests that the appreciation of the Japanese yen forced the Japanese...