| 000 | 02360cam a22003737 4500 | ||
|---|---|---|---|
| 001 | w13901 | ||
| 003 | NBER | ||
| 005 | 20211020111821.0 | ||
| 006 | m o d | ||
| 007 | cr cnu|||||||| | ||
| 008 | 210910s2008 mau fo 000 0 eng d | ||
| 100 | 1 |
_aChen, Yu-Chin. _97897 |
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| 245 | 1 | 0 |
_aCan Exchange Rates Forecast Commodity Prices? / _cYu-Chin Chen, Kenneth Rogoff, Barbara Rossi. |
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_aCambridge, Mass. _bNational Bureau of Economic Research _c2008. |
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_a1 online resource: _billustrations (black and white); |
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| 490 | 1 |
_aNBER working paper series _vno. w13901 |
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| 500 | _aMarch 2008. | ||
| 520 | 3 | _aWe 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. | |
| 530 | _aHardcopy version available to institutional subscribers | ||
| 538 | _aSystem requirements: Adobe [Acrobat] Reader required for PDF files. | ||
| 538 | _aMode of access: World Wide Web. | ||
| 588 | 0 | _aPrint version record | |
| 690 | 7 |
_aC52 - Model Evaluation, Validation, and Selection _2Journal of Economic Literature class. |
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| 690 | 7 |
_aC53 - Forecasting and Prediction Methods • Simulation Methods _2Journal of Economic Literature class. |
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| 690 | 7 |
_aF31 - Foreign Exchange _2Journal of Economic Literature class. |
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| 690 | 7 |
_aF47 - Forecasting and Simulation: Models and Applications _2Journal of Economic Literature class. |
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| 700 | 1 | _aRogoff, Kenneth. | |
| 700 | 1 |
_aRossi, Barbara. _919776 |
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| 710 | 2 | _aNational Bureau of Economic Research. | |
| 830 | 0 |
_aWorking Paper Series (National Bureau of Economic Research) _vno. w13901. |
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| 856 | 4 | 0 | _uhttps://www.nber.org/papers/w13901 |
| 856 |
_yAcceso en línea al DOI _uhttp://dx.doi.org/10.3386/w13901 |
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_2ddc _cW-PAPER |
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_c334222 _d292784 |
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