Can Oil Prices Forecast Exchange Rates?

Domenico Ferraro, Kenneth Rogoff and Barbara Rossi

No 17998, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper investigates whether oil prices have a reliable and stable out-of-sample relationship with the Canadian/U.S dollar nominal exchange rate. Despite state-of-the-art methodologies, we find little systematic relation between oil prices and the exchange rate at the monthly and quarterly frequencies. In contrast, the main contribution is to show the existence of a very short-term relationship at the daily frequency, which is rather robust and holds no matter whether we use contemporaneous (realized) or lagged oil prices in our regression. However, in the latter case the predictive ability is ephemeral, mostly appearing after instabilities have been appropriately taken into account

JEL-codes: C22 C53 F31 F37 (search for similar items in EconPapers)
Date: 2012-04
New Economics Papers: this item is included in nep-cba, nep-ene, nep-for and nep-opm
Note: IFM ME
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (43)

Downloads: (external link)
http://www.nber.org/papers/w17998.pdf (application/pdf)

Related works:
Working Paper: Can Oil Prices Forecast Exchange Rates? (2015)
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)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:17998

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w17998

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().