Noncausality and the Commodity Currency Hypothesis

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Lof , M H & Nyberg , H K 2017 , ' Noncausality and the Commodity Currency Hypothesis ' , Energy Economics , vol. 65 , pp. 424-433 .

Title: Noncausality and the Commodity Currency Hypothesis
Author: Lof, Matthijs Harm; Nyberg, Henri Kaleva
Contributor organization: Department of Political and Economic Studies (2010-2017)
Helsinki Center of Economic Research (HECER)
Financial and Macroeconometrics
Date: 2017-06
Language: eng
Number of pages: 10
Belongs to series: Energy Economics
ISSN: 0140-9883
Abstract: This paper provides new evidence on the role of exchange rates in forecasting commodity prices. Consistent with previous studies, we find that commodity currencies hold out-of-sample predictive power for commodity prices when using standard linear predictive regressions. After we reconsider the evidence using noncausal autoregressions, which provide a better fit to the data and are able to accommodate the effects of nonlinearities and omitted variables, the predictive power of exchange rates disappears.
Subject: 511 Economics
Peer reviewed: Yes
Usage restriction: openAccess
Self-archived version: acceptedVersion

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