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Forecasting Exchange Rates with Commodity Prices - A Global Country Analysis
This paper investigates the predictive properties of import and export prices of commodities on the exchange rates. A period from 1993 to 2016 is considered. We find that forecasts of the exchange rate adding commodity export and import prices are superior to those neglecting these variables. Thi...
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| Publié dans: | MAGKS - Joint Discussion Paper Series in Economics (Band 12-2018) |
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| Auteurs principaux: | , |
| Format: | Article |
| Langue: | anglais |
| Publié: |
Philipps-Universität Marburg
2018
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| Sujets: | |
| Accès en ligne: | Texte intégral en PDF |
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| Résumé: | This paper investigates the predictive properties of import and export
prices of commodities on the exchange rates. A period from 1993 to 2016
is considered. We find that forecasts of the exchange rate adding commodity
export and import prices are superior to those neglecting these variables. This
holds irrespective of whether the countries are net exporters or importers of
commodities. However, the forecasting power was even better in the 1990s
and seems to have decreased since that that time. Nevertheless forecasts can even today be improved considerably by adding commodity prices. |
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| Description matérielle: | 32 Seiten |
| ISSN: | 1867-3678 |
| DOI: | 10.17192/es2024.0565 |