Can oil prices forecast exchange rates?

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• dc.contributor.author Ferraro, Domenicoca
• dc.contributor.author Rogoff, Kennethca
• dc.contributor.author Rossi, Barbara, 1971-ca
• dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
• dc.date.accessioned 2017-07-26T10:50:47Z
• dc.date.available 2017-07-26T10:50:47Z
• dc.date.issued 2011-05-01
• dc.date.modified 2017-07-23T02:16:40Z
• dc.description.abstract We show the existence of a very short-term relationship at the daily frequency between changes in the price of a country's major commodity export price and changes in its nominal exchange rate. The relationship appears to be robust and to hold when we use contemporaneous (realized) commodity price changes in our regression. However, when we use lagged commodity price changes, the predictive ability is ephemeral, mostly appearing after instabilities have been appropriately taken into account.
• dc.format.mimetype application/pdfca
• dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=1461
• dc.identifier.citation Journal of International Money, vol. 54 (1), pp. 116-141, 2015
• dc.identifier.uri http://hdl.handle.net/10230/23048
• dc.language.iso eng
• dc.relation.ispartofseries Economics and Business Working Papers Series; 1461
• dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
• dc.rights.accessRights info:eu-repo/semantics/openAccess
• dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
• dc.subject.keyword forecasting
• dc.subject.keyword oil prices
• dc.subject.keyword exchange rates.
• dc.subject.keyword Macroeconomics and International Economics
• dc.subject.keyword Statistics, Econometrics and Quantitative Methods
• dc.title Can oil prices forecast exchange rates?ca
• dc.type info:eu-repo/semantics/workingPaper