| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w17998 |
| 来源ID | Working Paper 17998 |
| Can Oil Prices Forecast Exchange Rates? | |
| Domenico Ferraro; Kenneth S. Rogoff; Barbara Rossi | |
| 发表日期 | 2012-04-13 |
| 出版年 | 2012 |
| 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 | Econometrics ; Estimation Methods ; International Economics ; International Finance |
| URL | https://www.nber.org/papers/w17998 |
| 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/575674 |
| 推荐引用方式 GB/T 7714 | Domenico Ferraro,Kenneth S. Rogoff,Barbara Rossi. Can Oil Prices Forecast Exchange Rates?. 2012. |
| 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 | ||
| w17998.pdf（2585KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
