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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. 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.
  2. 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.
  3. 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.
  4. 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.
  5. Yu-chin Chen & Kenneth Rogoff, 2006. "Are the Commodity Currencies an Exception to the Rule?," Working Papers UWEC-2006-28, University of Washington, Department of Economics, revised Mar 2012.
  6. Jose Luiz Rossi Jr & Wilson Felíci, 2014. "Common Factors And The Exchange Rate: Results From The Brazilian Case," Anais do XLI Encontro Nacional de Economia [Proceedings of the 41th Brazilian Economics Meeting] 125, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  7. 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.
  8. 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.
  9. 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.
  10. Nongnuch Tantisantiwong, 2013. "Price Transmission and Effects of Exchange Rates on Domestic Commodity Prices via Offshore and Currency Hedging," Dundee Discussion Papers in Economics 278, Economic Studies, University of Dundee.
  11. Gospodinov, Nikolay & Jamali, Ibrahim, 2013. "Monetary policy surprises, positions of traders, and changes in commodity futures prices," Working Paper 2013-12, Federal Reserve Bank of Atlanta.
  12. Byrne, Joseph P. & Fazio, Giorgio & Fiess, Norbert, 2011. "Primary commodity prices : co-movements, common factors and fundamentals," Policy Research Working Paper Series 5578, The World Bank.
  13. Jarkko P. Jääskelä & Kristoffer Nimark, 2011. "A Medium‐Scale New Keynesian Open Economy Model of Australia," The Economic Record, The Economic Society of Australia, vol. 87(276), pages 11-36, March.
  14. Todd Clark & Michael W. McCracken, 2011. "Advances in forecast evaluation," Working Paper 1120, Federal Reserve Bank of Cleveland.
  15. Matteo Manera & Marcella Nicolini & Ilaria Vignati, 2012. "Returns in Commodities Futures Markets and Financial Speculation: A Multivariate GARCH Approach," Working Papers 2012.23, Fondazione Eni Enrico Mattei.
  16. 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.
  17. Yannick Le Pen & Benoît Sévi, 2011. "Macro factors in oil futures returns," Economie Internationale, CEPII research center, issue 126-127, pages 13-38.
  18. Chen, Shu-Ling & Jackson, John D. & Kim, Hyeongwoo & Resiandini, Pramesti, 2012. "What Drives Commodity Prices?," MPRA Paper 40711, University Library of Munich, Germany.
  19. Apergis, Nicholas, 2014. "Can gold prices forecast the Australian dollar movements?," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 75-82.
  20. 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.
  21. 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.
  22. 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.
  23. 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.
  24. Rossi, José Luiz Júnior, 2013. "Liquidity and Exchange Rates," Insper Working Papers wpe_325, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  25. Beckmann, Joscha & Czudaj, Robert, 2013. "Oil prices and effective dollar exchange rates," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 621-636.
  26. Leung, Charles Ka Yui & Shi, Song & Tang, Edward Chi Ho, 2013. "Commodity house prices," MPRA Paper 49489, University Library of Munich, Germany.
  27. Hui Jun Zhang & Jean-Marie Dufour & John Galbraith, 2013. "Exchange rates and commodity prices: measuring causality at multiple horizons," CIRANO Working Papers 2013s-39, CIRANO.
  28. Moura, Marcelo, 2008. "Testing the Taylor Model Predictability for Exchange Rates in Latin America," Insper Working Papers wpe_119, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  29. Domenico Ferraro & Ken Rogoff & Barbara Rossi, 2011. "Can Oil Prices Forecast Exchange Rates?," Working Papers 11-05, Duke University, Department of Economics.
  30. 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.
  31. Todd E. Clark & Michael W. McCracken, 2010. "Reality checks and nested forecast model comparisons," Working Papers 2010-032, Federal Reserve Bank of St. Louis.
  32. Ehsan U. Choudhri & Lawrence L. Schembri, 2013. "Productivity, Commodity Prices and the Real Exchange Rate: The Long-Run Behavior of the Canada-US Exchange Rate," Working Paper Series 45_13, The Rimini Centre for Economic Analysis.
  33. 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.
  34. Joshua Aizenman & Sebastian Edwards & Daniel Riera-Crichton, 2011. "Adjustment patterns to commodity terms of trade shocks: the role of exchange rate and international reserves policies," NBER Working Papers 17692, National Bureau of Economic Research, Inc.
  35. 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.
  36. Chen, Shiu-Sheng, 2013. "Forecasting Crude Oil Price Movements with Oil-Sensitive Stocks," MPRA Paper 49240, University Library of Munich, Germany.
  37. Buetzer, Sascha & Habib, Maurizio Michael & Stracca, Livio, 2012. "Global exchange rate configurations: Do oil shocks matter?," Working Paper Series 1442, European Central Bank.
  38. Anderson, Richard G. & Binner, Jane M. & Schmidt, Vincent A., 2012. "Connectionist-based rules describing the pass-through of individual goods prices into trend inflation in the United States," Economics Letters, Elsevier, vol. 117(1), pages 174-177.
  39. 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.
  40. Ron Alquist & Lutz Kilian & Robert J. Vigfusson, 2011. "Forecasting the Price of Oil," Working Papers 11-15, Bank of Canada.
  41. Ferreira Filipe, Sara, 2012. "Equity order flow and exchange rate dynamics," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 359-381.
  42. Toni Beutler, 2012. "Forecasting Exchange Rates with Commodity Convenience Yields," Working Papers 12.03, Swiss National Bank, Study Center Gerzensee.
  43. Carlos Garcia & Pablo Gonzalez & Antonio Moncado, 2010. "Proyecciones Macroeconómicas en Chile: Una Aproximación Bayesiana," ILADES-Georgetown University Working Papers inv262, Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines.
  44. Elena Andreou & Eric Ghysels & Andros Kourtellos, 2010. "Should macroeconomic forecasters use daily financial data and how?," University of Cyprus Working Papers in Economics 09-2010, University of Cyprus Department of Economics.
  45. 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.
  46. Elena Dumitrescu & Rabah Arezki & Andreas Freytag & Marc Quintyn, 2012. "Commodity Prices and Exchange Rate Volatility," IMF Working Papers 12/168, International Monetary Fund.
  47. Menzie D. Chinn & Olivier Coibion, 2010. "The Predictive Content of Commodity Futures," NBER Working Papers 15830, National Bureau of Economic Research, Inc.
  48. 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.
  49. Konstantin Styrin & Oleg Zamulin, 2012. "A Real Exchange Rate Based Phillips Curve," Working Papers w0179, Center for Economic and Financial Research (CEFIR).
  50. Barbara Rossi, 2011. "Advances in Forecasting Under Instability," Working Papers 11-20, Duke University, Department of Economics.
  51. 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.
  52. Rossi, José Luiz Júnior, 2014. "The Usefulness of Financial Variables in Predicting Exchange Rate Movements," Insper Working Papers wpe_332, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  53. Eric Ghysels & Andros Kourtellos & Elena Andreou, 2012. "Should macroeconomic forecasters use daily financial data and how?," 2012 Meeting Papers 1196, Society for Economic Dynamics.
  54. Marcel Fratzscher & Daniel Schneider & Ine Van Robays, 2013. "Oil Prices, Exchange Rates and Asset Prices," CESifo Working Paper Series 4264, CESifo Group Munich.
  55. 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.
  56. 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.
  57. Shaun K. Roache & Marco Rossi, 2009. "The Effects of Economic Newson Commodity Prices," IMF Working Papers 09/140, International Monetary Fund.
  58. Philippe Bacchetta & Eric van Wincoop & Toni Beutler, 2010. "Can Parameter Instability Explain the Meese-Rogoff Puzzle?," NBER Chapters, in: NBER International Seminar on Macroeconomics 2009, pages 125-173 National Bureau of Economic Research, Inc.
  59. 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.
  60. 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.
  61. 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.
  62. Beckmann, Joscha & Czudaj, Robert, 2013. "Is there a homogeneous causality pattern between oil prices and currencies of oil importers and exporters?," Energy Economics, Elsevier, vol. 40(C), pages 665-678.
  63. Narayan, Seema, 2013. "Foreign exchange markets and oil prices in Asia," Journal of Asian Economics, Elsevier, vol. 28(C), pages 41-50.
  64. Uddin, Gazi Salah & Tiwari, Aviral Kumar & Arouri, Mohamed & Teulon, Frédéric, 2013. "On the relationship between oil price and exchange rates: A wavelet analysis," Economic Modelling, Elsevier, vol. 35(C), pages 502-507.