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Citations for "Can Exchange Rates Forecast Commodity Prices?"

by Chen, Yu-chin & Rogoff, Kenneth & Rossi, Barbara

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  1. Todd Clark & Michael W. McCracken, 2011. "Advances in forecast evaluation," Working Paper 1120, Federal Reserve Bank of Cleveland.
  2. Colin A. Carter & Gordon C. Rausser & Aaron Smith, 2011. "Commodity Booms and Busts," Annual Review of Resource Economics, Annual Reviews, vol. 3(1), pages 87-118, October.
  3. Joseph P. Byrne & Giorgio Fazio & Norbert Fiess, 2010. "Primary commodity prices: co-movements, common factors and fundamentals," Working Papers, Business School - Economics, University of Glasgow 2010_27, Business School - Economics, University of Glasgow.
  4. Harrison Hong & Motohiro Yogo, 2011. "What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices?," NBER Working Papers 16712, National Bureau of Economic Research, Inc.
  5. Barbara Rossi, 2011. "Advances in Forecasting Under Instability," Working Papers, Duke University, Department of Economics 11-20, Duke University, Department of Economics.
  6. Jan J. J. Groen & Paolo A. Pesenti, 2010. "Commodity prices, commodity currencies, and global economic developments," NBER Working Papers 15743, National Bureau of Economic Research, Inc.
  7. Toni Beutler, 2012. "Forecasting Exchange Rates with Commodity Convenience Yields," Working Papers 12.03, Swiss National Bank, Study Center Gerzensee.
  8. Shaun K. Roache & Marco Rossi, 2009. "The Effects of Economic Newson Commodity Prices," IMF Working Papers 09/140, International Monetary Fund.
  9. Elena Andreou & Eric Ghysels & Andros Kourtellos, 2010. "Should Macroeconomic Forecasters Use Daily Financial Data and How?," Working Paper Series, The Rimini Centre for Economic Analysis 42_10, The Rimini Centre for Economic Analysis.
  10. Enzo Cassino & David Oxley, 2013. "How Does the Exchange Rate Affect the Real Economy? A Literature Survey," Treasury Working Paper Series 13/26, New Zealand Treasury.
  11. Leung, Charles Ka Yui & Shi, Song & Ho Tang, Edward Chi, 2013. "Commodity house prices," Regional Science and Urban Economics, Elsevier, vol. 43(6), pages 875-887.
  12. Moura, Marcelo, 2008. "Testing the Taylor Model Predictability for Exchange Rates in Latin America," Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa wpe_119, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  13. Domenico Ferraro & Kenneth S. Rogoff & Barbara Rossi, 2012. "Can Oil Prices Forecast Exchange Rates?," NBER Working Papers 17998, National Bureau of Economic Research, Inc.
  14. Menzie D. Chinn & Olivier Coibion, 2010. "The Predictive Content of Commodity Futures," NBER Working Papers 15830, National Bureau of Economic Research, Inc.
  15. Philippe Bacchetta & Eric van Wincoop & Toni Beutler, 2009. "Can Parameter Instability Explain the Meese-Rogoff Puzzle?," Working Papers 09.04, Swiss National Bank, Study Center Gerzensee.
  16. Chen, Shiu-Sheng, 2013. "Forecasting Crude Oil Price Movements with Oil-Sensitive Stocks," MPRA Paper 49240, University Library of Munich, Germany.
  17. Stuart Landon & Constance Smith, 2010. "Government Revenue Volatility: The Case of Alberta, an Energy Dependent Economy," EERI Research Paper Series EERI_RP_2010_23, Economics and Econometrics Research Institute (EERI), Brussels.
  18. Jose Luiz Rossi Junior & Wilson Rafael de Oliveira Felicio, 2014. "Common Factors and the Exchange Rate: Results From the Brazilian Case," Revista Brasileira de Economia, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 68(1), pages 49-71, April.
  19. Jarkko P. Jääskelä & Kristoffer Nimark, 2011. "A Medium-Scale New Keynesian Open Economy Model of Australia," Working Papers 588, Barcelona Graduate School of Economics.
  20. Matteo Manera & Marcella Nicolini & Ilaria Vignati, 2012. "Returns in commodities futures markets and financial speculation: a multivariate GARCH approach," Quaderni di Dipartimento 170, University of Pavia, Department of Economics and Quantitative Methods.
  21. Gospodinov, Nikolay & Jamali, Ibrahim, 2013. "Monetary policy surprises, positions of traders, and changes in commodity futures prices," Working Paper, Federal Reserve Bank of Atlanta 2013-12, Federal Reserve Bank of Atlanta.
  22. Kenneth Rogoff, 2009. "Exchange rates in the modern floating era: what do we really know?," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 145(1), pages 1-12, April.
  23. Takatoshi Ito & Andrew K. Rose, 2011. "Introduction to "Commodity Prices and Markets, East Asia Seminar on Economics, Volume 20"," NBER Chapters, in: Commodity Prices and Markets, East Asia Seminar on Economics, Volume 20, pages 1-12 National Bureau of Economic Research, Inc.
  24. Chen, Shu-Ling & Jackson, John D. & Kim, Hyeongwoo & Resiandini, Pramesti, 2012. "What Drives Commodity Prices?," MPRA Paper 40711, University Library of Munich, Germany.
  25. Le Pen, Yannick & Sévi, Benoît, 2011. "Macro factors in oil futures returns," Economics Papers from University Paris Dauphine 123456789/11663, Paris Dauphine University.
  26. Aizenman, Joshua & Edwards, Sebastian & Riera-Crichton, Daniel, 2012. "Adjustment patterns to commodity terms of trade shocks: the role of exchange rate and international reserves policies," Santa Cruz Department of Economics, Working Paper Series qt2bq3246m, Department of Economics, UC Santa Cruz.
  27. Hui Jun ZHANG & Jean-Marie DUFOUR & John W. GALBRAITH, 2013. "Exchange Rates and Commodity Prices : Measuring Causality at Multiple Horizons," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ 14-2013, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  28. Dongwon Lee & Yu-chin Chen, 2014. "What Makes a Commodity Currency?," Working Papers 201420, University of California at Riverside, Department of Economics.
  29. Kalok Chan & Yiuman Tse & Michael Williams, 2011. "The Relationship between Commodity Prices and Currency Exchange Rates: Evidence from the Futures Markets," NBER Chapters, in: Commodity Prices and Markets, East Asia Seminar on Economics, Volume 20, pages 47-71 National Bureau of Economic Research, Inc.
  30. Buetzer, Sascha & Habib, Maurizio Michael & Stracca, Livio, 2012. "Global exchange rate configurations: Do oil shocks matter?," Working Paper Series 1442, European Central Bank.
  31. Ahdi Noomen Ajmi & Ghassen El Montasser & Duc Khuong Nguyen, 2014. "Carbon emissions - income relationships with structural breaks: the case of the Middle East and North African countries," Working Papers 2014-296, Department of Research, Ipag Business School.
  32. Yu-chin Chen & Kenneth Rogoff & Barbara Rossi, 2009. "Predicting Agri-Commodity Prices: an Asset Pricing Approach," Working Papers UWEC-2010-02, University of Washington, Department of Economics.
  33. Gazi Salah Uddin & Aviral Kumar Tiwari & Mohamed Arouri & Frederic Teulon, 2014. "On the relationship between oil price and exchange rates: A wavelet analysis," Working Papers 2014-456, Department of Research, Ipag Business School.
  34. Beckmann, Joscha & Czudaj, Robert, 2013. "Oil prices and effective dollar exchange rates," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 621-636.
  35. Carlos J. García & Pablo González M. & Antonio Moncado S., 2013. "Macroeconomic Forecasting in Chile: a Structural Bayesian Approach," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 16(1), pages 24-63, April.
  36. Todd E. Clark & Michael W. McCracken, 2010. "Reality checks and nested forecast model comparisons," Working Papers 2010-032, Federal Reserve Bank of St. Louis.
  37. Tantisantiwong, Nongnuch, 2013. "Price Transmission and Effects of Exchange Rates on Domestic Commodity Prices via Offshore and Currency Hedging," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) 2013-116, Scottish Institute for Research in Economics (SIRE).
  38. Ribeiro, Celma O. & Oliveira, Sydnei M., 2011. "A hybrid commodity price-forecasting model applied to the sugar–alcohol sector," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, Australian Agricultural and Resource Economics Society, vol. 55(2), June.
  39. Biing-Shen Kuo & Su-Ling Peng, 2011. "Price Pass-Through, Household Expenditure, and Industrial Structure: The Case of Taiwan," NBER Chapters, in: Commodity Prices and Markets, East Asia Seminar on Economics, Volume 20, pages 237-255 National Bureau of Economic Research, Inc.
  40. Rossi, José Luiz Júnior, 2014. "The Usefulness of Financial Variables in Predicting Exchange Rate Movements," Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa wpe_332, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  41. Eric Ghysels & Andros Kourtellos & Elena Andreou, 2012. "Should macroeconomic forecasters use daily financial data and how?," 2012 Meeting Papers, Society for Economic Dynamics 1196, Society for Economic Dynamics.
  42. Carlos Garcia & Pablo Gonzalez & Antonio Moncado, 2010. "Proyecciones Macroeconómicas en Chile: Una Aproximación Bayesiana," ILADES-Georgetown University Working Papers, Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines inv262, Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines.
  43. Konstantin Styrin & Oleg Zamulin, 2012. "A Real Exchange Rate Based Phillips Curve," Working Papers w0179, Center for Economic and Financial Research (CEFIR).
  44. Zied Ftiti & Aviral Tiwari & Ibrahim Fatnassi, 2014. "Oil price and macroeconomy in India - An evolutionary cospectral coherence approach," Working Papers 2014-068, Department of Research, Ipag Business School.
  45. Kenneth S. Rogoff & Vania Stavrakeva, 2008. "The Continuing Puzzle of Short Horizon Exchange Rate Forecasting," NBER Working Papers 14071, National Bureau of Economic Research, Inc.
  46. Ercio Muñoz & Miguel Ricaurte & Mariel Siravegna, 2012. "Combinación de Proyecciones para el Precio del Petróleo: Aplicación y Evaluación de Metodologías," Working Papers Central Bank of Chile 660, Central Bank of Chile.
  47. Tokuo Iwaisako, 2011. "Comment on "The Relationship between Commodity Prices and Currency Exchange Rates: Evidence from the Futures Markets"," NBER Chapters, in: Commodity Prices and Markets, East Asia Seminar on Economics, Volume 20, pages 71-72 National Bureau of Economic Research, Inc.
  48. Richard G. Anderson & Jane M. Binner & Vincent A. Schmidt, 2011. "Connectionist-based rules describing the pass-through of individual goods prices into trend inflation in the United States," Working Papers 2011-007, Federal Reserve Bank of St. Louis.
  49. Chen Yu-Chin & Rogoff Kenneth, 2012. "Are The Commodity Currencies An Exception To The Rule?," Global Journal of Economics (GJE), World Scientific Publishing Co. Pte. Ltd., vol. 1(01), pages 1250004-1-1.
  50. Stephen, James D. & Mabee, Warren E. & Saddler, Jack N., 2013. "Lignocellulosic ethanol production from woody biomass: The impact of facility siting on competitiveness," Energy Policy, Elsevier, vol. 59(C), pages 329-340.
  51. Choudhri, Ehsan U. & Schembri, Lawrence L., 2014. "Productivity, commodity prices and the real exchange rate: The long-run behavior of the Canada–US exchange rate," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 537-551.
  52. Marcel Fratzscher & Daniel Schneider & Ine Van Robays, 2013. "Oil Prices, Exchange Rates and Asset Prices," Discussion Papers of DIW Berlin 1302, DIW Berlin, German Institute for Economic Research.
  53. Ferreira Filipe, Sara, 2012. "Equity order flow and exchange rate dynamics," Journal of Empirical Finance, Elsevier, Elsevier, vol. 19(3), pages 359-381.
  54. Apergis, Nicholas, 2014. "Can gold prices forecast the Australian dollar movements?," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 75-82.
  55. Joscha Beckmann & Robert Czudaj, 2013. "Oil and gold price dynamics in a multivariate cointegration framework," International Economics and Economic Policy, Springer, vol. 10(3), pages 453-468, September.
  56. Lizardo, Radhamés A. & Mollick, André V., 2010. "Oil price fluctuations and U.S. dollar exchange rates," Energy Economics, Elsevier, vol. 32(2), pages 399-408, March.
  57. Roache, Shaun K. & Rossi, Marco, 2010. "The effects of economic news on commodity prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(3), pages 377-385, August.
  58. Elena Dumitrescu & Rabah Arezki & Andreas Freytag & Marc Quintyn, 2012. "Commodity Prices and Exchange Rate Volatility," IMF Working Papers 12/168, International Monetary Fund.
  59. Rossi, José Luiz Júnior, 2013. "Liquidity and Exchange Rates," Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa wpe_325, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  60. Barbara Rossi, 2012. "The changing relationship between commodity prices and equity prices in commodity exporting," Economics Working Papers 1405, Department of Economics and Business, Universitat Pompeu Fabra.
  61. Bakshi, Gurdip & Panayotov, George, 2013. "Predictability of currency carry trades and asset pricing implications," Journal of Financial Economics, Elsevier, vol. 110(1), pages 139-163.
  62. Narayan, Seema, 2013. "Foreign exchange markets and oil prices in Asia," Journal of Asian Economics, Elsevier, vol. 28(C), pages 41-50.
  63. Ron Alquist & Lutz Kilian & Robert J. Vigfusson, 2011. "Forecasting the Price of Oil," Working Papers 11-15, Bank of Canada.
  64. Joscha Beckmann & Robert Czudaj, 2013. "Is there a Homogeneous Causality Pattern between Oil Prices and Currencies of Oil Importers and Exporters?," Ruhr Economic Papers, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen 0431, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  65. Ding, Liang & Vo, Minh, 2012. "Exchange rates and oil prices: A multivariate stochastic volatility analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(1), pages 15-37.
  66. Gazi Salah Uddin & Aviral Kumar Tiwari, 2013. "Measuring co-movement of oil price and exchange rate differential in Bangladesh," Economics Bulletin, AccessEcon, vol. 33(3), pages 1922-1930.