The Weather and Changes in New Zealand’s Trade-Weighted Foreign Exchange Rate Index
Finance Letters, Vol. 2, No. 4, pp. 9-13, 2004
Posted: 16 Dec 2009
This study extends the literature relating to the influence of weather on security returns by examining the influence of four facets of the local weather on the change in New Zealand’s Trade-Weighted Foreign Exchange Rate Index (TWI). The TWI is not influenced by the level of wind in the two major financial centres. There is weak evidence that temperature has a positive effect on the TWI. A factor capturing day-to-day changes in sunshine exhibits a significant positive influence on the TWI. This is a direct analogue of the cloud cover effect on stock returns reported by others.
Keywords: Weather, Security returns, TWI
JEL Classification: F31, G14, G30
Suggested Citation: Suggested Citation