The relationship between exchange rates, interest rates and Australian bank returns Jain, Ameeta, Narayan, Paresh Kumar and Thomson, Dianne 2011, The relationship between exchange rates, interest rates and Australian bank returns, Applied economics letters, vol. 18, no. 10, pp. 967-972, doi: 10.1080/13504851.2010.520661. Attached Files Name Description MIMEType Size Downloads Title The relationship between exchange rates, interest rates and Australian bank returns Author(s) Jain, Ameeta orcid.org/0000-0001-7912-0539 Narayan, Paresh Kumar orcid.org/0000-0001-7934-8146 Thomson, Dianne orcid.org/0000-0002-8189-7854 Journal name Applied economics letters Volume number 18 Issue number 10 Start page 967 End page 972 Total pages 6 Publisher Routledge Place of publication Abingdon, England Publication date 2011-07 ISSN 1350-4851 1466-4291 Summary Although there has been significant research on US financial intermediaries' stock returns and sensitivity to interest yields, there has only been limited research on Australian bank stock returns and key macro variables, such as interest rates and exchange rates. The aim of this article is to examine this relationship for four major Australian banks, namely the Australia New Zealand bank (ANZ), the Commonwealth Bank of Australia (CBA), the National Australia Bank (NAB) and the Westpac Banking Corporation (WBC). We use the EGARCH model and examine the relationship using monthly data covering the period 1992 to 2007. The results suggest that for all four banks: (1) there is a similar and statistically significant negative relationship between interest rates and stock returns; and (2) there is evidence of an increase in returns during the period of appreciation of the Australian dollar. Language eng DOI 10.1080/13504851.2010.520661 Field of Research 150201 Finance 150203 Financial Institutions (incl Banking) Socio Economic Objective 900101 Finance Services HERDC Research category C1 Refereed article in a scholarly journal Copyright notice ©2011, Taylor & Francis Persistent URL http://hdl.handle.net/10536/DRO/DU:30036791 Document type: Journal Article Collections: Faculty of Business and Law School of Accounting, Economics and Finance Related Links Link Description Connect to published version (restricted access) Go to link with your DU access privileges     Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved. Versions Version Filter Type Thu, 08 Sep 2011, 12:05:45 EST Fri, 09 Sep 2011, 15:08:09 EST Fri, 02 Dec 2011, 10:14:42 EST Fri, 02 Dec 2011, 10:17:11 EST Mon, 05 Dec 2011, 07:40:14 EST Fri, 27 Jan 2012, 13:19:46 EST Fri, 27 Jan 2012, 13:21:32 EST Mon, 17 Jun 2013, 16:55:18 EST Mon, 16 Jun 2014, 18:47:35 EST Wed, 27 Aug 2014, 22:43:33 EST Filtered Full Citation counts:   Cited 4 times in TR Web of Science Cited 6 times in Scopus Search Google Scholar Access Statistics: 1016 Abstract Views, 5 File Downloads  -  Detailed Statistics Created: Thu, 08 Sep 2011, 12:05:12 EST by Katrina Fleming