Zhang, Hui Jun; Dufour, Jean-Marie; Galbraith, John - Centre Interuniversitaire de Recherche en Analyse des … - 2013
Understanding and measuring the relative roles of different causal channels between commodity prices and exchange rates …-looking exchange rates suggests reverse causation, i.e. exchange rates should Granger-cause commodity prices (expectations mechanism …). We examine empirically the causal relationship between commodity prices and exchange rates, using data on three …