TY  - BOOK
AU  - Chen,Yu-Chin
AU  - Rogoff,Kenneth
AU  - Rossi,Barbara
ED  - National Bureau of Economic Research.
TI  - Can Exchange Rates Forecast Commodity Prices?
T2  - NBER working paper series
PY  - 2008///
CY  - Cambridge, Mass.
PB  - National Bureau of Economic Research
N1  - March 2008; Hardcopy version available to institutional subscribers
N2  - We show that "commodity currency" exchange rates have remarkably 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 policymakers, 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
UR  - https://www.nber.org/papers/w13901
UR  - http://dx.doi.org/10.3386/w13901
ER  -