Can Exchange Rates Forecast Commodity Prices

By Yu‐chin Chen, Kenneth S. Rogoff, Barbara Rossi. 2008

700 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/7c01b793d90ac333f9f21295cd5ea2a8a51a9831

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

Citations in the corpus

Exchange Rates and Commodity Prices : Measuring Causality at Multiple Horizons (2015, background): “1 The second explanation stresses the financial and speculative features of foreign exchange markets: exchange rates can help predict economic fundamentals including commodity prices; see, for example, Meese and Rogoff (1983), Engel and West (2005), Cheung, Chinn and Pascual (2005), Rogoff and Stavr”
Advances in Forecasting Under Instability (2012, unknown): “First, note from (43) that a forecast breakdown can be caused by a small positive break in the variance of the disturbances and/or a large break (positive or negative) in the conditional mean parameters.”
Forecasting oil price realized volatility using information channels from other asset classes (2017, background): “Finally, the choice of the CAD/USD is motivated by Chen et al. (2010) who maintain that currencies of commodity exporters contain important information for the future movements of commodity prices.”
Forecasting commodity price indexes using macroeconomic and financial predictors (2014, background): “Chen, Rogoff, and Rossi (2010) study predictability in an aggregate commodity price index which comprises more than forty traded products.”
Exchange Rates and Oil Prices: A Multivariate Stochastic Volatility Analysis (2012, unknown): “To constrain t to the interval [ 1; 1], we use the Fisher transformation as suggested by Christodoulakis and Satchell (2002), in which t is a function of qt which follows an AR (1) stochastic process.”
Exchange rate predictability in a changing world (2014, unknown): “Panel B: Change in Base Currency, Forecast Sample: 2007Q1+h - 2013Q1; N=10 TVP Regression FE Panel Regression h=1 h=4 h=8 h=12 h=1 h=4 h=8 h=12 TRon Yes (5) Yes (6) Yes (6) Yes (7) No No Yes (5) Yes (5) TRos No Yes (6) Yes (5) Yes (8) No Yes (5) Yes (5) Yes (6) TRen Yes (6) Yes (6) Yes (5) Yes (5) N”
Correlation in Energy Markets (2017, methodology): “For instance, Chen et al. (2010) find that commodity currencies have large predictive power for commodity prices.”
Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach (2015, unknown): “All models are estimated subject to real-time data constraints using a suitably extended and updated version of the real-time database developed by Baumeister and Kilian (2012).”