E-mail alert  |  Contact  
Search:       Go  
Background  |   Sponsoring institutions  |   Editorial board   |   Advisory board   |   Associate editors
Call for papers  |   Submission guidelines  |   Editorial process
Current issue  |   Past issues  |  
June 2017 issue
List of authors
 
Winkelried
Davis, Simpson Prescott
Segal
Kohlscheen, Avalos, Schrimpf
Arai
Del Giovane, Nobili, Signoretti
Schechtman
Blanchard
IJCB Home   Read the journal   Current issue
Past issues
2017
 
June
March
February
2016
 
December
September
June
March
2015
 
December
September
June
March
January
2014
 
December
September
June
March
2013
 
December
September
June
March
January
2012
 
December
September
June
March
January
2011
 
December
September
June
March
2010
 
December
September
June
March
2009
 
December
September
June
March
2008
 
December
September
June
March
2007
 
December
September
June
March
2006
 
December
September
June
March
2005
 
December
September
May

When the Walk Is Not Random: Commodity Prices and Exchange Rates

by Emanuel Kohlscheen, Fernando Avalos, and Andreas Schrimpf
Bank for International Settlements

Abstract

We show that there is a distinct commodity-related driver of exchange rate movements, even at fairly high frequencies. Commodity prices predict exchange rate movements of eleven commodity-exporting countries in an in-sample panel setting for horizons up to two months. We also find evidence of systematic (pseudo) out-of-sample predictability, overturning the results of Meese and Rogoff (1983): information embedded in our country-specific commodity price indexes clearly helps to improve upon the predictive accuracy of the random walk in the majority of countries. We further show that the link between commodity prices and exchange rates is not driven by changes in global risk appetite or carry.

JEL Codes: F10, F31, G12.

 
Full article (PDF, 38 pages, 626 kb)