Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/200668 
Year of Publication: 
2018
Series/Report no.: 
MAGKS Joint Discussion Paper Series in Economics No. 12-2018
Publisher: 
Philipps-University Marburg, School of Business and Economics, Marburg
Abstract: 
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.
Subjects: 
Exchange Rate
Commodity Prices
Forecast
Panel-Analysis
JEL: 
F17
F31
F47
C23
Document Type: 
Working Paper

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