Can Exchange Rates Forecast Commodity Prices? Recent Evidence using Australian Data
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.
Volume (Year): 33 (2013)
Issue (Month): 1 ()
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