Abstract
We show the existence of a very short-term relationship at the daily frequency between changes in the price of a country's major commodity export and changes in its nominal exchange rate. The relationship appears to be robust and to hold when we use contemporaneous (realized) commodity price changes in our regression. However, when we use lagged commodity price changes, the predictive ability is ephemeral, mostly appearing after instabilities have been appropriately taken into account.
Original language | English (US) |
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Pages (from-to) | 116-141 |
Number of pages | 26 |
Journal | Journal of International Money and Finance |
Volume | 54 |
DOIs | |
State | Published - Jun 1 2015 |
Keywords
- Exchange rates
- Out-of-sample fit
- Predictive ability
ASJC Scopus subject areas
- Finance
- Economics and Econometrics