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The Relationship between Commodity Prices and Currency Exchange Rates: Evidence from the Futures Markets

In: Commodity Prices and Markets, East Asia Seminar on Economics, Volume 20

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  • Kalok Chan
  • Yiuman Tse
  • Michael Williams

Abstract

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Suggested Citation

  • 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.
  • Handle: RePEc:nbr:nberch:11859
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    References listed on IDEAS

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    1. Peter S. Sephton, 1992. "Modelling the Link between Commodity Prices and Exchange Rates: The Tale of Daily Data," Canadian Journal of Economics, Canadian Economics Association, vol. 25(1), pages 156-171, February.
    2. Bessembinder, Hendrik & Chan, Kalok, 1992. "Time-varying risk premia and forecastable returns in futures markets," Journal of Financial Economics, Elsevier, vol. 32(2), pages 169-193, October.
    3. Yu-Chin Chen & Kenneth S. Rogoff & Barbara Rossi, 2010. "Can Exchange Rates Forecast Commodity Prices?," The Quarterly Journal of Economics, Oxford University Press, vol. 125(3), pages 1145-1194.
    4. David A. Bessler & Ted Covey, 1991. "Cointegration: Some results on U.S. cattle prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 11(4), pages 461-474, August.
    5. Ronald MacDonald & Ian W. Marsh, 1997. "On Fundamentals And Exchange Rates: A Casselian Perspective," The Review of Economics and Statistics, MIT Press, vol. 79(4), pages 655-664, November.
    6. Groen, Jan J J, 2005. "Exchange Rate Predictability and Monetary Fundamentals in a Small Multi-country Panel," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(3), pages 495-516, June.
    7. Gardeazabal, Javier & Regulez, Marta & Vazquez, Jesus, 1997. "Testing the Canonical Model of Exchange Rates with Unobservable Fundamentals," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(2), pages 389-404, May.
    8. Mark, Nelson C. & Sul, Donggyu, 2001. "Nominal exchange rates and monetary fundamentals: Evidence from a small post-Bretton woods panel," Journal of International Economics, Elsevier, vol. 53(1), pages 29-52, February.
    9. Joshua V. Rosenberg & Leah G. Traub, 2006. "Price discovery in the foreign currency futures and spot market," Staff Reports 262, Federal Reserve Bank of New York.
    10. Chen, Yu-chin & Rogoff, Kenneth, 2003. "Commodity currencies," Journal of International Economics, Elsevier, vol. 60(1), pages 133-160, May.
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    Citations

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    Cited by:

    1. Fernanda Fuentes & Rodrigo Herrera & Adam Clements, 2016. "Modelling Extreme Risks in Commodities and Commodity Currencies," NCER Working Paper Series 115, National Centre for Econometric Research.
    2. 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.
    3. Buncic, Daniel & Moretto, Carlo, 2015. "Forecasting copper prices with dynamic averaging and selection models," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 1-38.

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