| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w13901 |
| 来源ID | Working Paper 13901 |
| Can Exchange Rates Forecast Commodity Prices? | |
| Yu-Chin Chen; Kenneth Rogoff; Barbara Rossi | |
| 发表日期 | 2008-03-20 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | We show that "commodity currency" exchange rates have remarkably robust power in predicting global commodity prices, both in-sample and out-of-sample, and against a variety of alternative benchmarks. This result is of particular interest to policymakers, given the lack of deep forward markets in many individual commodities, and broad aggregate commodity indices in 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 commodity price fluctuations are typically more sensitive to short-term demand imbalances. |
| 主题 | Econometrics ; Estimation Methods ; International Economics ; International Finance ; International Macroeconomics |
| URL | https://www.nber.org/papers/w13901 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/571575 |
| 推荐引用方式 GB/T 7714 | Yu-Chin Chen,Kenneth Rogoff,Barbara Rossi. Can Exchange Rates Forecast Commodity Prices?. 2008. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w13901.pdf（282KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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