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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- 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 156-71, February.
- Chen, Yu-chin & Rogoff, Kenneth & Rossi, Barbara, 2008.
"Can Exchange Rates Forecast Commodity Prices?,"
08-03, Duke University, Department of Economics.
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- Yu-chin Chen & Kenneth Rogoff & Barbara Rossi, 2008. "Can Exchange Rates Forecast Commodity Prices?," Working Papers UWEC-2008-11-FC, University of Washington, Department of Economics, revised Oct 2009.
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- 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.
- 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.
- 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.
- 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.
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