Can oil prices forecast exchange rates? An empirical analysis of the relationship between commodity prices and exchange rates

被引：148

作者：

Ferraro, Domenico ^{[1
]}

Rogoff, Kenneth ^{[2
]}

Rossi, Barbara ^{[3
]}

机构：

[1] Arizona State Univ, Tempe, AZ 85287 USA

[2] Harvard Univ, Cambridge, MA 02138 USA

[3] CREI, Barcelona GSE, ICREA UPF, Barcelona, Spain

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2015年 / 54卷

关键词：

Exchange rates; Predictive ability; Out-of-sample fit; ENERGY PRICES; RATE MODELS; ANNOUNCEMENTS; FUNDAMENTALS; ERRORS; FIT;

D O I：

10.1016/j.jimonfin.2015.03.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We show the existence of a very short-term relationship at the daily frequency between changes in the price of a country's major commodity export and changes in its nominal exchange rate. The relationship appears to be robust and to hold when we use contemporaneous (realized) commodity price changes in our regression. However, when we use lagged commodity price changes, the predictive ability is ephemeral, mostly appearing after instabilities have been appropriately taken into account. (C) 2015 Elsevier Ltd. All rights reserved.

引用

页码：116 / 141

页数：26

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