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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Bibliographic Details
Published in:MAGKS - Joint Discussion Paper Series in Economics (Band 12-2018)
Main Authors: Baumgärtner, Martin, Klose, Jens
Format: Article
Language:English
Published: Philipps-Universität Marburg 2018
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Online Access:PDF Full Text
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Summary: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.
Physical Description:32 Pages
ISSN:1867-3678
DOI:10.17192/es2024.0565