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Commodity prices and the AUD-Yen exchange rate: a real-time forecasting analysis

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  • Sebastian Rohloff

Abstract

I study the impact of the GSCI commodity price indices on the Australian dollar-Japanese yen nominal exchange rate using a modified version of the classic monetary approach of exchange rate determination. I use a broad range of model-selection and model-averaging criteria. I find some evidence for a short-lived relationship as far as inclusions in the optimal forecasting models are concerned. In general, though, results of the Diebold-Mariano and Clark-West test show that results are not stable over the whole sample.

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  • Sebastian Rohloff, 2019. "Commodity prices and the AUD-Yen exchange rate: a real-time forecasting analysis," Applied Economics, Taylor & Francis Journals, vol. 51(13), pages 1360-1382, March.
    • Handle: RePEc:taf:applec:v:51:y:2019:i:13:p:1360-1382
    DOI: 10.1080/00036846.2018.1527451
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    Cited by:

    1. Liming Chen & Zhi Zhang & Ziqing Du & Lingling Deng, 2021. "Heterogeneous determinants of the exchange rate market in China with structural breaks," Applied Economics, Taylor & Francis Journals, vol. 53(59), pages 6839-6854, December.

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