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

Ferraro Domenico; Rogoff Kenneth; Rossi Barbara

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

机译：石油价格可以预测汇率吗？商品价格与汇率关系的实证分析

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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.

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来源
《Journal of International Money and Finance》 |2015年第6期|116-141|共26页
作者
Ferraro Domenico; Rogoff Kenneth; Rossi Barbara;
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作者单位

Arizona State Univ, Tempe, AZ 85287 USA;

Harvard Univ, Cambridge, MA 02138 USA;

CREI, Barcelona GSE, ICREA UPF, Barcelona, Spain;

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原文格式 PDF
正文语种 eng
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关键词
Exchange rates; Predictive ability; Out-of-sample fit;

机译：汇率;预测能力;样本外拟合;

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

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