Can oil prices forecast exchange rates?

Domenico Ferraro, Kenneth Rogoff and Barbara Rossi

Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra

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 price 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.

Keywords: forecasting; oil prices; exchange rates. (search for similar items in EconPapers)
JEL-codes: C22 C53 F31 F37 (search for similar items in EconPapers)
Date: 2011-05, Revised 2015-01
New Economics Papers: this item is included in nep-ene, nep-for and nep-opm
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Citations: View citations in EconPapers (158)

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Related works:
Working Paper: Can Oil Prices Forecast Exchange Rates? (2015)
Working Paper: Can Oil Prices Forecast Exchange Rates? (2012)
Working Paper: Can Oil Prices Forecast Exchange Rates? (2011)
Working Paper: Can Oil Prices Forecast Exchange Rates? (2011)
Working Paper: Can oil prices forecast exchange rates? (2011)
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