Can Exchange Rates Forecast Commodity Prices? Recent Evidence using Australian Data

Kieran Burgess () and Nicholas Rohde
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Kieran Burgess: Griffith University

Economics Bulletin, 2013, vol. 33, issue 1, 511-518

Abstract: Recent papers by Chen et al (2009, 2010) suggest that exchange rates have predictive power over future commodity price movements. We use a Vector Error-Correction model to test this hypothesis using Australian data. We find substantial evidence of in-sample forecasting power but are unable to consistently out-perform naïve benchmarks for out-of-sample forecasts.

Keywords: Forecasting; Time-Series; Cointegration; Vector Error-Correction (search for similar items in EconPapers)
JEL-codes: F3 (search for similar items in EconPapers)
Date: 2013-03-04
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Citations: View citations in EconPapers (1)

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