Noncausality and the Commodity Currency Hypothesis

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http://hdl.handle.net/10138/302628

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Lof , M H & Nyberg , H K 2017 , ' Noncausality and the Commodity Currency Hypothesis ' , Energy Economics , vol. 65 , pp. 424-433 . https://doi.org/10.1016/j.eneco.2017.05.024

Title: Noncausality and the Commodity Currency Hypothesis
Author: Lof, Matthijs Harm; Nyberg, Henri Kaleva
Contributor: University of Helsinki, Aalto University School of Business
University of Helsinki, Department of Political and Economic Studies (2010-2017)
Date: 2017-06
Language: eng
Number of pages: 10
Belongs to series: Energy Economics
ISSN: 0140-9883
URI: http://hdl.handle.net/10138/302628
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
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