Noncausality and the Commodity Currency Hypothesis

Matthijs Harm Lof, Henri Kaleva Nyberg

Research output: Contribution to journalArticleScientificpeer-review

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.
Original languageEnglish
JournalEnergy Economics
Volume65
Pages (from-to)424-433
Number of pages10
ISSN0140-9883
DOIs
Publication statusPublished - Jun 2017
MoE publication typeA1 Journal article-refereed

Fields of Science

  • 511 Economics

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