We show that "commodity currency" exchange rates have surprisingly robust power in predicting global commodity prices, both in-sample and out-of-sample, and against a variety of alternative benchmarks. This result is of ...

This paper analyzes the robustness of the estimate of a positive productivity shock on hours to the presence of a possible unit root in hours. Estimations in levels or in first differences provide opposite conclusions. We ...

We propose a sequential test for predictive ability. The test is designed for recursive regressions in which the researcher is interested in recursively assessing whether some economic variables have predictive or explanatory ...