Arbeitspapier
Forecasting exchange rates with commodity prices: A global country analysis
This paper investigates the predictive properties of import and export prices of commodities on the exchange rates. A period from 1993 to 2016 is considered. We _nd that forecasts of the exchange rate adding commodity export and import prices are superior to those neglecting these variables. This holds irrespective of whether the countries are net exporters or importers of commodities. However, the forecasting power was even better in the 1990s and seems to have decreased since that that time. Nevertheless forecasts can even today be improved considerably by adding commodity prices.
- Sprache
-
Englisch
- Erschienen in
-
Series: MAGKS Joint Discussion Paper Series in Economics ; No. 12-2018
- Klassifikation
-
Wirtschaft
Trade: Forecasting and Simulation
Foreign Exchange
Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation: Models and Applications
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
- Thema
-
Exchange Rate
Commodity Prices
Forecast
Panel-Analysis
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Baumgärtner, Martin
Klose, Jens
- Ereignis
-
Veröffentlichung
- (wer)
-
Philipps-University Marburg, School of Business and Economics
- (wo)
-
Marburg
- (wann)
-
2018
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Baumgärtner, Martin
- Klose, Jens
- Philipps-University Marburg, School of Business and Economics
Entstanden
- 2018
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