Can Oil Prices Forecast Exchange Rates? / Domenico Ferraro, Kenneth S. Rogoff, Barbara Rossi.

Format:

Book

Author/Creator:

Ferraro, Domenico.

Contributor:

National Bureau of Economic Research.

Rogoff, Kenneth S.

Rossi, Barbara.

Series:

Working Paper Series (National Bureau of Economic Research) no. w17998.

NBER working paper series no. w17998

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2012.

Summary:

This paper investigates whether oil prices have a reliable and stable out-of-sample relationship with the Canadian/U.S dollar nominal exchange rate. Despite state-of-the-art methodologies, we find little systematic relation between oil prices and the exchange rate at the monthly and quarterly frequencies. In contrast, the main contribution is to show the existence of a very short-term relationship at the daily frequency, which is rather robust and holds no matter whether we use contemporaneous (realized) or lagged oil prices in our regression. However, in the latter case the predictive ability is ephemeral, mostly appearing after instabilities have been appropriately taken into account

Notes:

Print version record

April 2012.