Ferraro, DomenicoRogoff, KennethRossi, Barbara, 1971-Universitat Pompeu Fabra. Departament d'Economia i Empresa2017-07-262017-07-262011-05-01Journal of International Money, vol. 54 (1), pp. 116-141, 2015http://hdl.handle.net/10230/23048We 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.application/pdfengL'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commonsinfo:eu-repo/semantics/workingPaperforecastingoil pricesexchange rates.Macroeconomics and International EconomicsStatistics, Econometrics and Quantitative Methodsinfo:eu-repo/semantics/openAccess