Can Oil Prices Forecast Exchange Rates

By D. Ferraro, Kenneth S. Rogoff, Barbara Rossi. 2011

316 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment

View Paper: https://www.semanticscholar.org/paper/c42dd139508aaa72bb205101228db9f7e80073b1

Citations in the corpus

• Exchange Rate Predictability (2013, unknown): “Ferraro et al. (2011) …nd predictive ability using realized, contemporaneous commodity prices, though the predictive ability weakens considerably using lagged commodity prices.”
• Exchange Rates and Commodity Prices : Measuring Causality at Multiple Horizons (2015, unknown): “Significance tests of the predictive relationship between nominal exchange rates and commodity prices (including tests of conventional Granger non-causality) are also reported by Chen (2004), Chen et al.”
• Predictability of Currency Carry Trades and Asset Pricing Implications (2013, unknown): “We establish both marginal and joint predictive power, and we show robustness using p-values obtained with the covariance estimators of Newey and West (1987) and Hodrick (1992), and via parametric bootstrap (e.”
• Oil Price Factors: Forecasting on the Base of Modified Auto-regressive Integrated Moving Average Model (2019, unknown): “The impact of armed clashes in the oil-producing countries is becoming less important in the formation of oil prices, Huang and Guo (2007), Ferraro et al. (2015) believe the opposite.”
• Forecasting oil price realized volatility using information channels from other asset classes (2017, unknown): “6 See, inter alia, Aloui and Jammazi (2009), Sari et al. (2010), Arouri et al. (2011), Aloui et al. (2013), Souček and Todorova (2013, 2014), Mensi et al. (2014), Antonakakis et al. (2014), Sadorsky (2014), Phan et al. (2015), IEA (2015), Ferraro et al. (2015).”