Forecasting Exchange Rates with Commodity Prices - A Global Country Analysis

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...

Szczegółowa specyfikacja

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Opis bibliograficzny
Wydane w:MAGKS - Joint Discussion Paper Series in Economics (Band 12-2018)
Główni autorzy: Baumgärtner, Martin, Klose, Jens
Format: Artykuł
Język:angielski
Wydane: Philipps-Universität Marburg 2018
Hasła przedmiotowe:
Forecast
Panel-Analysis
Wirtschaft
Exchange Rate
Commodity Prices
Economics
Dostęp online:PDF pełnotekstowe
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Opis
Streszczenie: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.
Opis fizyczny:32 Seiten
ISSN:1867-3678
DOI:10.17192/es2024.0565

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