Can oil prices forecast exchange rates? An empirical analysis of the relationship between commodity prices and exchange rates
Can oil prices forecast exchange rates? An empirical analysis of the relationship between commodity prices and exchange rates
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DOI：
10.1016/j.jimonfin.2015.03.001
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发表时间：
2015-06-01
影响因子：
2.5
通讯作者：
Rossi, Barbara
中科院分区：
文献类型：
--
作者：
Ferraro, Domenico;Rogoff, Kenneth;Rossi, Barbara
我们表明，一国主要商品出口价格的变化与其名义汇率的变化之间存在着一种非常短期的每日频率关系。当我们在回归中使用同期（已实现）商品价格变化时，这种关系似乎很稳健并且成立。然而，当我们使用滞后的商品价格变化时，预测能力是短暂的，大多数是在适当考虑不稳定性之后出现的。 (C) 2015 Elsevier Ltd. 保留所有权利。
We show the existence of a very short-term relationship at the daily frequency between changes in the price of a country's major commodity export and changes in its nominal exchange rate. The relationship appears to be robust and to hold when we use contemporaneous (realized) commodity price changes in our regression. However, when we use lagged commodity price changes, the predictive ability is ephemeral, mostly appearing after instabilities have been appropriately taken into account. (C) 2015 Elsevier Ltd. All rights reserved.