Rogoff, Kenneth S; Rossi, Barbara; Chen, Yu-Chin - National Bureau of Economic Research (NBER) - 2008
We show that "commodity currency" exchange rates have remarkably robust power in predicting global commodity prices … 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 …