Can Exchange Rates Forecast Commodity Prices? Recent Evidence using Australian Data

Recent papers by Chen et al (2009, 2010) suggest that exchange rates have predictive power over future commodity price movements. We use a Vector Error-Correction model to test this hypothesis using Australian data. We find substantial evidence of in-sample forecasting power but are unable to consistently out-perform naïve benchmarks for out-of-sample forecasts.

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Year of publication:	2013
Authors:	Burgess, Kieran ; Rohde, Nicholas
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 33.2013, 1, p. 511-518
Publisher:	AccessEcon
Subject:	Forecasting \| Time-Series \| Cointegration \| Vector Error-Correction

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Extent:	application/pdf
Type of publication:	Article
Classification:	F3 - International Finance
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011278792