| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8635 |
| DP8635 Can Oil Prices Forecast Exchange Rates? | |
| Kenneth Rogoff; Barbara Rossi; Domenico Ferraro | |
| 发表日期 | 2011-11-01 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | 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 and the exchange rate at the monthly and quarterly frequencies. In contrast, the main contribution is to show the existence of a very short-term relationship at the daily frequency, which is rather robust and holds no matter whether we use contemporaneous (realized) or lagged oil prices in our regression. However, in the latter case the predictive ability is ephemeral, mostly appearing after instabilities have been appropriately taken into account. |
| 主题 | International Macroeconomics |
| 关键词 | Exchange rates |
| URL | https://cepr.org/publications/dp8635 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537472 |
| 推荐引用方式 GB/T 7714 | Kenneth Rogoff,Barbara Rossi,Domenico Ferraro. DP8635 Can Oil Prices Forecast Exchange Rates?. 2011. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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