Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7365682 | Journal of International Money and Finance | 2015 | 63 Pages |
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 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.
Related Topics
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Economics, Econometrics and Finance
Economics and Econometrics
Authors
Domenico Ferraro, Kenneth Rogoff, Barbara Rossi,