Commodity prices and the AUD-Yen exchange rate: a real-time forecasting analysis

Sebastian Rohloff

Applied Economics, 2019, vol. 51, issue 13, 1360-1382

Abstract: I study the impact of the GSCI commodity price indices on the Australian dollar-Japanese yen nominal exchange rate using a modified version of the classic monetary approach of exchange rate determination. I use a broad range of model-selection and model-averaging criteria. I find some evidence for a short-lived relationship as far as inclusions in the optimal forecasting models are concerned. In general, though, results of the Diebold-Mariano and Clark-West test show that results are not stable over the whole sample.

Date: 2019
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DOI: 10.1080/00036846.2018.1527451

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