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dc.contributor.author Chen, YC
dc.contributor.author Rogoff, KS
dc.contributor.author Rossi, B
dc.date.accessioned 2011-06-21T17:31:27Z
dc.date.issued 2010-08-01
dc.identifier.citation Quarterly Journal of Economics, 2010, 125 (3), pp. 1145 - 1194
dc.identifier.issn 0033-5533
dc.identifier.uri http://hdl.handle.net/10161/4522
dc.description.abstract 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 particular interest to policy makers, given the lack of deep forward markets in many individual commodities, and broad aggregate commodity indices in particular. We also explore the reverse relationship (commodity prices forecasting exchange rates) but find it to be notably less robust. We offer a theoretical resolution, based on the fact that exchange rates are strongly forward-looking, whereas commodity price fluctuations are typically more sensitive to short-term demand imbalances. © 2010 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology.
dc.format.extent 1145 - 1194
dc.language.iso en_US en_US
dc.relation.ispartof Quarterly Journal of Economics
dc.relation.isversionof 10.1162/qjec.2010.125.3.1145
dc.title Can exchange rates forecast commodity prices?
dc.title.alternative en_US
dc.type Journal Article
dc.description.version Version of Record en_US
duke.date.pubdate 2010-8-0 en_US
duke.description.endpage 1194 en_US
duke.description.issue 3 en_US
duke.description.startpage 1145 en_US
duke.description.volume 125 en_US
dc.relation.journal Quarterly Journal of Economics en_US
pubs.issue 3
pubs.organisational-group /Duke
pubs.organisational-group /Duke/Faculty
pubs.publication-status Published
pubs.volume 125
dc.identifier.eissn 1531-4650

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