Exchange rates and commodity prices: Granger causality in the time--frequency domain

Riccardo Trezzi

Applied Economics Letters, 2014, vol. 21, issue 3, 224-227

Abstract: I study the asset approach to exchange rates in the time--frequency domain. Using Australian data, I show that the Granger causality runs from the exchange rate to commodity prices -- a proxy for economic fundamentals. This result holds at any point in time at business cycle and higher frequencies confirming the exchange rate present-value framework.

Date: 2014
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DOI: 10.1080/13504851.2013.849377

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