Can Exchange Rates Forecast Commodity Prices? (QJE 2010)

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Contents

Article

Authors Title Journal Year Edition Pages JEL Codes Keywords
Yu-Chin Chen, Kenneth S. Rogoff, Barbara Rossi Can Exchange Rates Forecast Commodity Prices? QJE 2010 3 1145-94 C52, C53, F31, F47 Exchange rates, Forecasting, Commodity prices, Random walk

Article information

Program code Data Readme Method(s) & estimation Data type Data used Origin of data used Software used (Version)
- - - Granger causality test, Quasi-likelihood ratio (QLR) test - quarterly data: Australia (1984:1-2008:1), Canada (1973:1-2008:1), Chile (1989:3- 2008:1), New Zealand (1987:1-2008:1), South Africa (1994:1-2008:1, Individual commodity price data from, International Monetary Fund (IMF), Global Financial Database, Bank of Canada, Reserve Bank of New Zealand. For nominal exchange rates end-of-period U.S. dollar rates from, Global Financial Database, nominal effective exchange rates from, International Finance Statistics (IFS), cross rates relative to the British pound, aggregate commodity price index from IMF, world export-earnings-weighted price index for over forty products excluding fuel traded on various exchanges, Dow Jones–AIG Futures and Spot indices, three-month “DJ–AIGCI Forward Index, ” composed of longer-dated commodity futures contracts, Dow Jones–AIG Commodity Spot Index, forward price data from, Bloomberg, for gold, silver, platinum, and copper Australia, Canada, Chile, New Zealand, South Africa -

Replication of this study

Authors Title Journal Year Edition Pages JEL Codes Keywords Replication type Replication result [refer to replication type 1 and 2] Raw data Call into question Authors statement
Lasse Bork, Pablo Rovira Kaltwasser, Piet Sercu Do Exchange Rates Really Help Forecasting Commodity Prices? Aalborg Universitet Department of Business and Management Working paper 2014 - - - Commodity prices, Exchange rate - - - - -

References

DOI: 10.1162/qjec.2010.125.3.1145 IDEAS: a/oup/qjecon/v125y2010i3p1145-1194..html EconPapers: RePEc:oup:qjecon:v:125:y:2010:i:3:p:1145-1194.


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