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Can Exchange Rates Forecast Commodity Prices? Recent Evidence using Australian Data

Author

Listed:
  • Kieran Burgess

    (Griffith University)

  • Nicholas Rohde

    (Griffith University)

Abstract

Recent papers by Chen et al (2009, 2010) suggest that exchange rates have predictive power over future commodity price movements. We use a Vector Error-Correction model to test this hypothesis using Australian data. We find substantial evidence of in-sample forecasting power but are unable to consistently out-perform naïve benchmarks for out-of-sample forecasts.

Suggested Citation

  • Kieran Burgess & Nicholas Rohde, 2013. "Can Exchange Rates Forecast Commodity Prices? Recent Evidence using Australian Data," Economics Bulletin, AccessEcon, vol. 33(1), pages 511-518.
    • Handle: RePEc:ebl:ecbull:eb-12-00410
    as

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    File URL: http://www.accessecon.com/Pubs/EB/2013/Volume33/EB-13-V33-I1-P48.pdf
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Forecasting; Time-Series; Cointegration; Vector Error-Correction;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance

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