ICREA-UPF, BGSE and CREI
Centre de Recerca en Economia Internacional (CREI)
Universitat Pompeu Fabra (UPF)
carrer Ramon Trias Fargas, 25-27
Mercè Rodoreda bldg.
08005 Barcelona SPAIN
Information about this author at RePEc
NBER Working Papers and Publications
|September 2012||Comment on "Taylor Rule Exchange Rate Forecasting during the Financial Crisis"|
in NBER International Seminar on Macroeconomics 2012, Francesco Giavazzi and Kenneth D. West, organizers
|April 2012||Can Oil Prices Forecast Exchange Rates?|
with Domenico Ferraro, Kenneth S. Rogoff: w17998
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
|June 2008||Comment on "Exchange Rate Models Are Not As Bad As You Think" |
in NBER Macroeconomics Annual 2007, Volume 22, Daron Acemoglu, Kenneth Rogoff and Michael Woodford, editors
|March 2008||Can Exchange Rates Forecast Commodity Prices?|
with Yu-Chin Chen, Kenneth Rogoff: w13901
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.
Published: Yu-Chin Chen & Kenneth S. Rogoff & Barbara Rossi, 2010.
"Can Exchange Rates Forecast Commodity Prices?,"
The Quarterly Journal of Economics,
MIT Press, vol. 125(3), pages 1145-1194, August.
citation courtesy of