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Can Exchange Rates Forecast Commodity Prices?

Citations

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Cited by:

  1. Shiu-Sheng Chen, 2014. "Forecasting Crude Oil Price Movements With Oil-Sensitive Stocks," Economic Inquiry, Western Economic Association International, vol. 52(2), pages 830-844, April.
  2. Rossi, José Luiz Júnior, 2013. "Liquidity and Exchange Rates," Insper Working Papers wpe_325, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  3. Nikolay Gospodinov & Ibrahim Jamali, 2013. "Monetary policy surprises, positions of traders, and changes in commodity futures prices," FRB Atlanta Working Paper 2013-12, Federal Reserve Bank of Atlanta.
  4. Timo Korkeamaki & Danielle Xu, 2015. "Institutional Investors and Foreign Exchange Risk," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 5(03), pages 1-33, September.
  5. Haoyuan Ding & Yuying Jin & Cong Qin & Jiezhou Ying, 2020. "Tail Causality between Crude Oil Price and RMB Exchange Rate," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 28(3), pages 116-134, May.
  6. Jesus Crespo Cuaresma & Ines Fortin & Jaroslava Hlouskova & Michael Obersteiner, 2024. "Regime‐dependent commodity price dynamics: A predictive analysis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(7), pages 2822-2847, November.
  7. Wang, Yudong & Liu, Li & Wu, Chongfeng, 2020. "Forecasting commodity prices out-of-sample: Can technical indicators help?," International Journal of Forecasting, Elsevier, vol. 36(2), pages 666-683.
  8. Ercio Muñoz & Miguel Ricaurte & Mariel Siravegna, 2012. "Combinación de Proyecciones para el Precio del Petróleo: Aplicación y Evaluación de Metodologías," Working Papers Central Bank of Chile 660, Central Bank of Chile.
  9. Elena Andreou & Eric Ghysels & Andros Kourtellos, 2013. "Should Macroeconomic Forecasters Use Daily Financial Data and How?," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(2), pages 240-251, April.
  10. Byrne, Joseph P. & Korobilis, Dimitris & Ribeiro, Pinho J., 2016. "Exchange rate predictability in a changing world," Journal of International Money and Finance, Elsevier, vol. 62(C), pages 1-24.
  11. Clark, Todd E. & McCracken, Michael W., 2015. "Nested forecast model comparisons: A new approach to testing equal accuracy," Journal of Econometrics, Elsevier, vol. 186(1), pages 160-177.
  12. Bodart, V. & Carpantier, J.-F., 2020. "Currency collapses and output dynamics in commodity dependent countries," Emerging Markets Review, Elsevier, vol. 42(C).
  13. Snaith, Stuart & Termprasertsakul, Santi & Wood, Andrew, 2017. "The exchange rate exposure puzzle: The long and the short of it," Economics Letters, Elsevier, vol. 159(C), pages 204-207.
  14. Shernaz Bodhanwala & Harsh Purohit & Nidhi Choudhary, 2020. "The Causal Dynamics in Indian Agriculture Commodity Prices and Macro-Economic Variables in the Presence of a Structural Break," Global Business Review, International Management Institute, vol. 21(1), pages 241-261, February.
  15. Jaqueline Terra Marins & Marta Baltar Areosa & José Valentim Machado Vicente, 2024. "The Balassa-Samuelson Effect during the Covid-19 Pandemic in Brazil," Working Papers Series 596, Central Bank of Brazil, Research Department.
  16. Bakas, Dimitrios & Triantafyllou, Athanasios, 2018. "The impact of uncertainty shocks on the volatility of commodity prices," Journal of International Money and Finance, Elsevier, vol. 87(C), pages 96-111.
  17. Apergis, Nicholas, 2014. "Can gold prices forecast the Australian dollar movements?," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 75-82.
  18. Pablo Pincheira & Nicolas Hardy & Andrea Bentancor, 2022. "A Simple Out-of-Sample Test of Predictability against the Random Walk Benchmark," Mathematics, MDPI, vol. 10(2), pages 1-20, January.
  19. Burak Mat & Mehmet Saltuk Arikan & Mustafa Bahadir Çevrimli & Ahmet Cumhur Akin & Mustafa Agah Tekindal, 2020. "Causality Analysis of the Factors Affecting the Consumer Price of Veal: The Case of Turkey," Sustainability, MDPI, vol. 12(15), pages 1-11, August.
  20. Kim, Hyeongwoo & Zhang, Yunxiao, 2020. "Investigating properties of commodity price responses to real and nominal shocks," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  21. Pincheira, Pablo M. & West, Kenneth D., 2016. "A comparison of some out-of-sample tests of predictability in iterated multi-step-ahead forecasts," Research in Economics, Elsevier, vol. 70(2), pages 304-319.
  22. Coudert, Virginie & Mignon, Valérie, 2016. "Reassessing the empirical relationship between the oil price and the dollar," Energy Policy, Elsevier, vol. 95(C), pages 147-157.
  23. Fuentes, Fernanda & Herrera, Rodrigo & Clements, Adam, 2018. "Modeling extreme risks in commodities and commodity currencies," Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 108-120.
  24. Dongwon Lee & Yu-chin Chen, 2014. "What Makes a Commodity Currency?," Working Papers 201420, University of California at Riverside, Department of Economics.
  25. Francesco Ravazzolo & Tommy Sveen & Sepideh K. Zahiri, 2016. "Commodity Futures and Forecasting Commodity Currencies," Working Papers No 7/2016, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  26. Tsiakas, Ilias & Zhang, Haibin, 2021. "Economic fundamentals and the long-run correlation between exchange rates and commodities," Global Finance Journal, Elsevier, vol. 49(C).
  27. Roache, Shaun K. & Rossi, Marco, 2010. "The effects of economic news on commodity prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(3), pages 377-385, August.
  28. Fuentes H., Fernando & García, Carlos J., 2016. "The business cycle and copper mining in Chile," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), April.
  29. Bathia, Deven & Demirer, Riza & Gupta, Rangan & Kotzé, Kevin, 2021. "Unemployment fluctuations and currency returns in the United Kingdom: Evidence from over one and a half century of data," Journal of Multinational Financial Management, Elsevier, vol. 61(C).
  30. Martin Enilov & Yuan Wang, 2022. "Tourism and economic growth: Multi-country evidence from mixed-frequency Granger causality tests," Tourism Economics, , vol. 28(5), pages 1216-1239, August.
  31. Ferraro, Domenico & Rogoff, Kenneth & Rossi, Barbara, 2015. "Can oil prices forecast exchange rates? An empirical analysis of the relationship between commodity prices and exchange rates," Journal of International Money and Finance, Elsevier, vol. 54(C), pages 116-141.
  32. Athanasios Triantafyllou & Dimitrios Bakas & Marilou Ioakimidis, 2023. "Commodity price uncertainty as a leading indicator of economic activity," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4194-4219, October.
  33. Khalid M. Kisswani, 2016. "Does oil price variability affect ASEAN exchange rates? Evidence from panel cointegration test," Applied Economics, Taylor & Francis Journals, vol. 48(20), pages 1831-1839, April.
  34. Ayres, Joao & Hevia, Constantino & Nicolini, Juan Pablo, 2020. "Real exchange rates and primary commodity prices," Journal of International Economics, Elsevier, vol. 122(C).
  35. Henriques, Irene & Sadorsky, Perry, 2023. "Forecasting rare earth stock prices with machine learning," Resources Policy, Elsevier, vol. 86(PA).
  36. Mr. Shaun K. Roache & Mr. Marco Rossi, 2009. "The Effects of Economic News on Commodity Prices: Is Gold Just Another Commodity?," IMF Working Papers 2009/140, International Monetary Fund.
  37. Leung, Charles Ka Yui & Shi, Song & Ho Tang, Edward Chi, 2013. "Commodity house prices," Regional Science and Urban Economics, Elsevier, vol. 43(6), pages 875-887.
  38. Céline Azémar & R. Glenn Hubbard, 2015. "Country characteristics and the incidence of capital income taxation on wages: An empirical assessment," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 48(5), pages 1762-1802, December.
  39. Salisu, Afees A. & Adekunle, Wasiu & Alimi, Wasiu A. & Emmanuel, Zachariah, 2019. "Predicting exchange rate with commodity prices: New evidence from Westerlund and Narayan (2015) estimator with structural breaks and asymmetries," Resources Policy, Elsevier, vol. 62(C), pages 33-56.
  40. Jiang, Yonghong & Jiang, Cheng & Nie, He & Mo, Bin, 2019. "The time-varying linkages between global oil market and China's commodity sectors: Evidence from DCC-GJR-GARCH analyses," Energy, Elsevier, vol. 166(C), pages 577-586.
  41. Arezki, Rabah & Dumitrescu, Elena & Freytag, Andreas & Quintyn, Marc, 2014. "Commodity prices and exchange rate volatility: Lessons from South Africa's capital account liberalization," Emerging Markets Review, Elsevier, vol. 19(C), pages 96-105.
  42. Allayioti, Anastasia & Venditti, Fabrizio, 2024. "The role of comovement and time-varying dynamics in forecasting commodity prices," Working Paper Series 2901, European Central Bank.
  43. Engel, Charles, 2014. "Exchange Rates and Interest Parity," Handbook of International Economics, in: Gopinath, G. & Helpman, . & Rogoff, K. (ed.), Handbook of International Economics, edition 1, volume 4, chapter 0, pages 453-522, Elsevier.
  44. Pincheira, Pablo & Hardy, Nicolás, 2021. "Forecasting aluminum prices with commodity currencies," Resources Policy, Elsevier, vol. 73(C).
  45. Hansen, Erwin & Wagner, Rodrigo, 2017. "Stockpiling cash when it takes time to build: Exploring price differentials in a commodity boom," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 197-212.
  46. Chen, Yu-chin & Turnovsky, Stephen J. & Zivot, Eric, 2014. "Forecasting inflation using commodity price aggregates," Journal of Econometrics, Elsevier, vol. 183(1), pages 117-134.
  47. Domenico Ferraro & Kenneth S. Rogoff & Barbara Rossi, 2011. "Can oil prices forecast exchange rates?," Working Papers 11-34, Federal Reserve Bank of Philadelphia.
  48. Meher Manzur, 2018. "Exchange rate economics is always and everywhere controversial," Applied Economics, Taylor & Francis Journals, vol. 50(3), pages 216-232, January.
  49. Shiu‐Sheng Chen, 2016. "Commodity prices and related equity prices," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 49(3), pages 949-967, August.
  50. Wen, Chufu & Zhu, Haoyang & Dai, Zhifeng, 2023. "Forecasting commodity prices returns: The role of partial least squares approach," Energy Economics, Elsevier, vol. 125(C).
  51. Batten, Jonathan A. & Kinateder, Harald & Szilagyi, Peter G. & Wagner, Niklas F., 2019. "Time-varying energy and stock market integration in Asia," Energy Economics, Elsevier, vol. 80(C), pages 777-792.
  52. Pablo Pincheira Brown, 2022. "A Power Booster Factor for Out-of-Sample Tests of Predictability," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, vol. 45(89), pages 150-183.
  53. Gurdip Bakshi & Xiaohui Gao & Alberto G. Rossi, 2019. "Understanding the Sources of Risk Underlying the Cross Section of Commodity Returns," Management Science, INFORMS, vol. 65(2), pages 619-641, February.
  54. Robinson, Zurika, 2017. "Sustainability of platinum production in South Africa and the dynamics of commodity pricing," Resources Policy, Elsevier, vol. 51(C), pages 107-114.
  55. Soon, Siew-Voon & Baharumshah, Ahmad Zubaidi, 2021. "Exchange rates and fundamentals: Further evidence based on asymmetric causality test," International Economics, Elsevier, vol. 165(C), pages 67-84.
  56. Zhang, Hui Jun & Dufour, Jean-Marie & Galbraith, John W., 2016. "Exchange rates and commodity prices: Measuring causality at multiple horizons," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 100-120.
  57. Martin Enilov, 2024. "The predictive power of commodity prices for future economic growth: Evaluating the role of economic development," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(3), pages 3040-3062, July.
  58. Simona Delle Chiaie & Laurent Ferrara & Domenico Giannone, 2022. "Common factors of commodity prices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(3), pages 461-476, April.
  59. Arteaga, Carolina & Granados-Castro, Joan Camilo & Ojeda-Joya, Jair N., 2013. "Determinantes de los precios internacionales de los bienes básicos," Chapters, in: Rincón-Castro, Hernán & Velasco, Andrés M. (ed.), Flujos de capitales, choques externos y respuestas de política en países emergentes, chapter 11, pages 455-486, Banco de la Republica de Colombia.
  60. Caballero, Julián, 2021. "Corporate dollar debt and depreciations: All’s well that ends well?," Journal of Banking & Finance, Elsevier, vol. 130(C).
  61. Menzie D. Chinn & Olivier Coibion, 2014. "The Predictive Content of Commodity Futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(7), pages 607-636, July.
  62. Yin, Libo & Su, Zhi & Lu, Man, 2022. "Is oil risk important for commodity-related currency returns?," Research in International Business and Finance, Elsevier, vol. 60(C).
  63. Mobeen Ur Rehman, 2020. "Dynamic correlation pattern amongst alternative energy market for diversification opportunities," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 9(1), pages 1-24, December.
  64. Andrew Lilley & Matteo Maggiori & Brent Neiman & Jesse Schreger, 2019. "Exchange Rate Reconnect," NBER Working Papers 26046, National Bureau of Economic Research, Inc.
  65. Alhassan, Abdulrahman & Basher, Syed Abul & Kabir Hassan, M., 2019. "Oil subsidies and the risk exposure of oil-user stocks: Evidence from net oil producers," Resources Policy, Elsevier, vol. 61(C), pages 461-472.
  66. Wen, Shaobo & An, Haizhong & Chen, Zhihua & Liu, Xueyong, 2017. "Driving factors of interactions between the exchange rate market and the commodity market: A wavelet-based complex network perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 479(C), pages 299-308.
  67. Yang Liu & Liyan Han & Libo Yin, 2018. "Does news uncertainty matter for commodity futures markets? Heterogeneity in energy and non‐energy sectors," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(10), pages 1246-1261, October.
  68. Pablo Pincheira & Nicolás Hardy & Felipe Muñoz, 2021. "“Go Wild for a While!”: A New Test for Forecast Evaluation in Nested Models," Mathematics, MDPI, vol. 9(18), pages 1-28, September.
  69. Rossi Junior, Jose Luiz & Felicio, Wilson Rafael de Oliveira, 2014. "Common Factors and the Exchange Rate: Results From the Brazilian Case," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 68(1), April.
  70. Bondatti, Massimiliano & Rillo, Giovanni, 2022. "Commodity tail-risk and exchange rates," Finance Research Letters, Elsevier, vol. 47(PA).
  71. Beckmann, Joscha & Czudaj, Robert L. & Arora, Vipin, 2020. "The relationship between oil prices and exchange rates: Revisiting theory and evidence," Energy Economics, Elsevier, vol. 88(C).
  72. Szafranek, Karol & Rubaszek, Michał & Uddin, Gazi Salah, 2024. "The role of uncertainty and sentiment for intraday volatility connectedness between oil and financial markets," Energy Economics, Elsevier, vol. 137(C).
  73. Arpita Chatterjee & Richa Saraf, 2017. "Impact of China on World Commodity Prices and Commodity Exporters," Discussion Papers 2017-13, School of Economics, The University of New South Wales.
  74. Jan J. J. Groen & Paolo A. Pesenti, 2011. "Commodity Prices, Commodity Currencies, and Global Economic Developments," NBER Chapters, in: Commodity Prices and Markets, pages 15-42, National Bureau of Economic Research, Inc.
  75. Marcel Fratzscher & Daniel Schneider & Ine Van Robays, 2013. "Oil Prices, Exchange Rates and Asset Prices," Discussion Papers of DIW Berlin 1302, DIW Berlin, German Institute for Economic Research.
  76. Conlon, Thomas & Cotter, John & Eyiah-Donkor, Emmanuel, 2022. "The illusion of oil return predictability: The choice of data matters!," Journal of Banking & Finance, Elsevier, vol. 134(C).
  77. Afrin, Sadia, 2020. "Does oligopolistic banking friction amplify small open economy's business cycles? Evidence from Australia," Economic Modelling, Elsevier, vol. 85(C), pages 119-138.
  78. Cotter, John & Eyiah-Donkor, Emmanuel & Potì, Valerio, 2023. "Commodity futures return predictability and intertemporal asset pricing," Journal of Commodity Markets, Elsevier, vol. 31(C).
  79. Antoine Mandel & Amir Sani, 2017. "A Machine Learning Approach to the Forecast Combination Puzzle," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01317974, HAL.
  80. Agnieszka P. Markiewicz & Ralph C. Verhoeks & Willem F. C. Verschoor & Remco C. J. Zwinkels, 2023. "Inattentive Search for Currency Fundamentals," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 71(4), pages 907-952, December.
  81. Sumudu W. Watugala, 2015. "Economic Uncertainty and Commodity Futures Volatility," Working Papers 15-14, Office of Financial Research, US Department of the Treasury.
  82. Grossmann, Axel & Kim, Jintae, 2022. "The impact of U.S. dollar movements and U.S. dollar states on non-perishable commodity prices," Research in International Business and Finance, Elsevier, vol. 61(C).
  83. Lajos Horváth & Zhenya Liu & Curtis Miller & Weiqing Tang, 2024. "Breaks in term structures: Evidence from the oil futures markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 2317-2341, April.
  84. Nicolas Legrand, 2019. "The Empirical Merit Of Structural Explanations Of Commodity Price Volatility: Review And Perspectives," Journal of Economic Surveys, Wiley Blackwell, vol. 33(2), pages 639-664, April.
  85. Hegerty, Scott W., 2016. "Commodity-price volatility and macroeconomic spillovers: Evidence from nine emerging markets," The North American Journal of Economics and Finance, Elsevier, vol. 35(C), pages 23-37.
  86. Piotr Kotlarz & Michael Hanke & Sebastian Stöckl, 2023. "Regime-dependent drivers of the EUR/CHF exchange rate," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 159(1), pages 1-18, December.
  87. Witold Orzeszko, 2021. "Nonlinear Causality between Crude Oil Prices and Exchange Rates: Evidence and Forecasting," Energies, MDPI, vol. 14(19), pages 1-16, September.
  88. Barbara Rossi, 2012. "The changing relationship between commodity prices and equity prices in commodity exporting," Economics Working Papers 1405, Department of Economics and Business, Universitat Pompeu Fabra.
  89. Jungho Baek & Yoon Jung Choi, 2021. "Do fluctuations in crude oil prices have symmetric or asymmetric effects on the real exchange rate? Empirical evidence from Indonesia," The World Economy, Wiley Blackwell, vol. 44(1), pages 312-325, January.
  90. Ahmed, Rashad, 2019. "Commodity Currencies and Causality: Some High-Frequency Evidence," MPRA Paper 98319, University Library of Munich, Germany, revised 25 Jan 2020.
  91. Christian Pierdzioch & Marian Risse & Sebastian Rohloff, 2016. "Fluctuations of the real exchange rate, real interest rates, and the dynamics of the price of gold in a small open economy," Empirical Economics, Springer, vol. 51(4), pages 1481-1499, December.
  92. Matteo Manera & Marcella Nicolini & Ilaria Vignati, 2012. "Returns in commodities futures markets and financial speculation: a multivariate GARCH approach," Quaderni di Dipartimento 170, University of Pavia, Department of Economics and Quantitative Methods.
  93. Chen, Hongyi & Cao, Shuo, 2019. "Exchange Rate Movements and Fundamentals: Impact of Oil Prices and the People’s Republic of China’s Growth," ADBI Working Papers 938, Asian Development Bank Institute.
  94. Todd E. Clark & Michael W. McCracken, 2010. "Reality checks and nested forecast model comparisons," Working Papers 2010-032, Federal Reserve Bank of St. Louis.
  95. Zhuo Huang & Fang Liang & Chen Tong, 2021. "The predictive power of macroeconomic uncertainty for commodity futures volatility," International Review of Finance, International Review of Finance Ltd., vol. 21(3), pages 989-1012, September.
  96. Kwas, Marek & Paccagnini, Alessia & Rubaszek, Michał, 2021. "Common factors and the dynamics of industrial metal prices. A forecasting perspective," Resources Policy, Elsevier, vol. 74(C).
  97. Alquist, Ron & Bhattarai, Saroj & Coibion, Olivier, 2020. "Commodity-price comovement and global economic activity," Journal of Monetary Economics, Elsevier, vol. 112(C), pages 41-56.
  98. Zhao, Xuan & Xing, Wei & Liu, Liming & Wang, Shouyang, 2015. "Demand information and spot price information: Supply chains trading in spot markets," European Journal of Operational Research, Elsevier, vol. 246(3), pages 837-849.
  99. Fernandez, Viviana, 2020. "The predictive power of convenience yields," Resources Policy, Elsevier, vol. 65(C).
  100. Bonato, Matteo & Cepni, Oguzhan & Gupta, Rangan & Pierdzioch, Christian, 2023. "Climate risks and realized volatility of major commodity currency exchange rates," Journal of Financial Markets, Elsevier, vol. 62(C).
  101. Philippe Bacchetta & Eric van Wincoop & Toni Beutler, 2010. "Can Parameter Instability Explain the Meese-Rogoff Puzzle?," NBER International Seminar on Macroeconomics, University of Chicago Press, vol. 6(1), pages 125-173.
  102. Batten, Jonathan A. & Kinateder, Harald & Szilagyi, Peter G. & Wagner, Niklas F., 2017. "Can stock market investors hedge energy risk? Evidence from Asia," Energy Economics, Elsevier, vol. 66(C), pages 559-570.
  103. Bohl, Martin T. & Sulewski, Christoph, 2019. "The impact of long-short speculators on the volatility of agricultural commodity futures prices," Journal of Commodity Markets, Elsevier, vol. 16(C).
  104. Thobekile Qabhobho, 2023. "Assessing the Asymmetric Effect of Local Realized Exchange Rate Volatility and Implied Volatilities in Energy Market on Exchange Rate Returns in BRICS," International Journal of Energy Economics and Policy, Econjournals, vol. 13(2), pages 231-239, March.
  105. Stephen, James D. & Mabee, Warren E. & Saddler, Jack N., 2013. "Lignocellulosic ethanol production from woody biomass: The impact of facility siting on competitiveness," Energy Policy, Elsevier, vol. 59(C), pages 329-340.
  106. Carlos Garcia & Pablo Gonzalez & Antonio Moncado, 2010. "Proyecciones Macroeconómicas en Chile: Una Aproximación Bayesiana," ILADES-UAH Working Papers inv262, Universidad Alberto Hurtado/School of Economics and Business.
  107. Alquist, Ron & Kilian, Lutz & Vigfusson, Robert J., 2013. "Forecasting the Price of Oil," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 427-507, Elsevier.
  108. Martin Baumgärtner & Jens Klose, 2019. "Forecasting exchange rates with commodity prices—a global country analysis," The World Economy, Wiley Blackwell, vol. 42(9), pages 2546-2565, September.
  109. Schalck, Christophe & Chenavaz, Régis, 2015. "Oil commodity returns and macroeconomic factors: A time-varying approach," Research in International Business and Finance, Elsevier, vol. 33(C), pages 290-303.
  110. Narayan, Seema, 2013. "Foreign exchange markets and oil prices in Asia," Journal of Asian Economics, Elsevier, vol. 28(C), pages 41-50.
  111. Afees A. Salisu & Wasiu Adekunle & Zachariah Emmanuel & Wasiu A. Alimi, 2018. "Predicting exchange rate with commodity prices: The role of structural breaks and asymmetries," Working Papers 055, Centre for Econometric and Allied Research, University of Ibadan.
  112. Ahdi Noomen Ajmi & Ghassen El Montasser & Duc Khuong Nguyen, 2014. "Carbon emissions - income relationships with structural breaks: the case of the Middle East and North African countries," Working Papers 2014-296, Department of Research, Ipag Business School.
  113. Jean-Pierre Allegret & Cécile Couharde & Valérie Mignon & Tovonony Razafindrabe, 2017. "Oil currencies in the face of oil shocks: what can be learned from time-varying specifications?," Applied Economics, Taylor & Francis Journals, vol. 49(18), pages 1774-1793, April.
  114. Yang, Cai & Niu, Zibo & Gao, Wang, 2022. "The time-varying effects of trade policy uncertainty and geopolitical risks shocks on the commodity market prices: Evidence from the TVP-VAR-SV approach," Resources Policy, Elsevier, vol. 76(C).
  115. Drachal, Krzysztof, 2019. "Forecasting prices of selected metals with Bayesian data-rich models," Resources Policy, Elsevier, vol. 64(C).
  116. Enilov, Martin & Mensi, Walid & Stankov, Petar, 2023. "Does safe haven exist? Tail risks of commodity markets during COVID-19 pandemic," Journal of Commodity Markets, Elsevier, vol. 29(C).
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  118. Shamaila Butt & Suresh Ramakrishnan & Nanthakumar Loganathan & Muhammad Ali Chohan, 2020. "Evaluating the exchange rate and commodity price nexus in Malaysia: evidence from the threshold cointegration approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-19, December.
  119. Gazi Salah Uddin & Aviral Kumar Tiwari, 2013. "Measuring co-movement of oil price and exchange rate differential in Bangladesh," Economics Bulletin, AccessEcon, vol. 33(3), pages 1922-1930.
  120. Funk, Christoph, 2018. "Forecasting the real price of oil - Time-variation and forecast combination," Energy Economics, Elsevier, vol. 76(C), pages 288-302.
  121. Arabinda Basistha & Richard Startz, 2024. "Measuring persistent global economic factors with output, commodity price, and commodity currency data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(7), pages 2860-2885, November.
  122. Tokuo Iwaisako, 2011. "Comment on "The Relationship between Commodity Prices and Currency Exchange Rates: Evidence from the Futures Markets"," NBER Chapters, in: Commodity Prices and Markets, pages 71-72, National Bureau of Economic Research, Inc.
  123. Kim, Young Min & Lee, Seojin, 2020. "Exchange rate predictability: A variable selection perspective," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 117-134.
  124. Bork, Lasse & Kaltwasser, Pablo Rovira & Sercu, Piet, 2022. "Aggregation bias in tests of the commodity currency hypothesis," Journal of Banking & Finance, Elsevier, vol. 135(C).
  125. Felício, Wilson Rafael de Oliveira & Rossi, José Luiz Júnior, 2013. "Common factors and the exchange rate: results from the Brazilian case," Insper Working Papers wpe_318, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  126. Tantisantiwong, Nongnuch, 2013. "Price Transmission and Effects of Exchange Rates on Domestic Commodity Prices via Offshore and Currency Hedging," SIRE Discussion Papers 2013-116, Scottish Institute for Research in Economics (SIRE).
  127. Clark, Todd & McCracken, Michael, 2013. "Advances in Forecast Evaluation," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 1107-1201, Elsevier.
  128. Joseph P. Byrne & Dimitris Korobilis & Pinho J. Ribeiro, 2018. "On The Sources Of Uncertainty In Exchange Rate Predictability," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 59(1), pages 329-357, February.
  129. Naser, Hanan, 2016. "Estimating and forecasting the real prices of crude oil: A data rich model using a dynamic model averaging (DMA) approach," Energy Economics, Elsevier, vol. 56(C), pages 75-87.
  130. Michael Pedersen, 2015. "The Impact of Commodity Price Shocks in a Major Producing Economy. The Case of Copper and Chile," Working Papers Central Bank of Chile 753, Central Bank of Chile.
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