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Can exchange rates forecast commodity prices?

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.issn 0033-5533
dc.identifier.uri https://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.language.iso en_US
dc.publisher Oxford University Press (OUP)
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
dc.type Journal article
duke.contributor.id Rossi, B|0284645
dc.description.version Version of Record
duke.date.pubdate 2010-8-0
duke.description.issue 3
duke.description.volume 125
dc.relation.journal Quarterly Journal of Economics
pubs.begin-page 1145
pubs.end-page 1194
pubs.issue 3
pubs.organisational-group Duke
pubs.organisational-group Faculty
pubs.publication-status Published
pubs.volume 125
dc.identifier.eissn 1531-4650


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