Noncausality and the Commodity Currency Hypothesis

Matthijs Harm Lof, Henri Kaleva Nyberg

Research output: Contribution to journalArticleScientificpeer-review


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
Pages (from-to)424-433
Number of pages10
Publication statusPublished - Jun 2017
MoE publication typeA1 Journal article-refereed

Fields of Science

  • 511 Economics

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