I'm not sure if things would have changed recently, but last time I checked (about 6 months ago) with the staff at CBR was that they will not check through luggage on EY or EK unless the travel is on a single ticket!
I found it a bit odd given how 'close' EY and DJ claim to be.

I suggest you give them a call on (02) 6230 4559 just to be on the safe side.