Forecasting Exchange Rates with Commodity Prices - A Global Country Analysis
Martin Baumgaertner () and
Jens Klose ()
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Martin Baumgaertner: THM Business School
Authors registered in the RePEc Author Service: Martin Baumgärtner ()
MAGKS Papers on Economics from Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung)
This paper investigates the predictive properties of import and export prices of commodities on the exchange rates. A period from 1993 to 2016 is considered. We find that forecasts of the exchange rate adding commodity export and import prices are superior to those neglecting these variables. This holds irrespective of whether the countries are net exporters or importers of commodities. However, the forecasting power was even better in the 1990s and seems to have decreased since that that time. Nevertheless forecasts can even today be improved considerably by adding commodity prices.
Keywords: Exchange Rate; Commodity Prices; Forecast; Panel-Analysis (search for similar items in EconPapers)
JEL-codes: F17 F31 F47 C23 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-for and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:mar:magkse:201812
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