Authors:

  • Kenneth Rogoff

Excerpt

Can Exchange Rates Forecast Commodity Prices? Kenneth Rogoff, June 29, 2008, Paper. "We show that "commodity currency" exchange rates have remarkably robust power in predicting global commodity prices, both in-sample and out-of-sample, and against a variety of alternative benchmarks. This result is of particular interest to policymakers, given the lack of deep forward markets in many individual commodities, and broad aggregate commodity indices in particular. We also explore the reverse relationship (commodity prices forecasting exchange rates) but Önd it to be notably less robust..." Link