Chen, Yu-chin; Rogoff, Kenneth S.; Rossi, Barbara - 2008
"This paper demonstrates that "commodity currency" exchange rates have remarkably robust power in predicting future …, that commodity prices Granger-cause exchange rates. However, consistent with the vast post-Meese-Rogoff (1983a …,b) literature on forecasting exchange rates, we find that the reverse forecasting regression does not survive out-of-sample testing …