Exchange rates and commodity prices: Granger causality in the time--frequency domain

I study the asset approach to exchange rates in the time--frequency domain. Using Australian data, I show that the Granger causality runs from the exchange rate to commodity prices -- a proxy for economic fundamentals. This result holds at any point in time at business cycle and higher frequencies confirming the exchange rate present-value framework.

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Year of publication:	2014
Authors:	Trezzi, Riccardo
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 21.2014, 3, p. 224-227
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010741059