Ferraro, Domenico; Rogoff, Kenneth; Rossi, Barbara - C.E.P.R. Discussion Papers - 2011
This paper investigates whether oil prices have a reliable and stable out-of-sample relationship with the Canadian …/U.S dollar nominal exchange rate. Despite state-of-the-art methodologies, we find little systematic relation between oil prices … contemporaneous (realized) or lagged oil prices in our regression. However, in the latter case the predictive ability is ephemeral …