When the Walk is Not Random: Commodity Prices and Exchange Rates
نویسندگان
چکیده
منابع مشابه
Can Exchange Rates Forecast Commodity Prices?
This paper demonstrates that “commodity currency” exchange rates have remarkably robust power in predicting future global commodity prices, both in-sample and out-of-sample. A critical element of our in-sample approach is to allow for structural breaks, endemic to empirical exchange rate models, by implementing the approach of Rossi (2005b). Aside from its practical implications, our forecastin...
متن کاملInternational Prices and Exchange Rates
We survey the recent empirical and theoretical developments in the literature on the relation between prices and exchange rates. After updating some of the major findings in the empirical literature we present a simple framework to interpret this evidence. We review theoretical models that generate insensitivity of prices to exchange rate changes through variable markups, both under flexible pr...
متن کاملIs the dollar/ECU exchange rate a random walk?
Monthly data on the $US/ECU exchange rate are analysed in light of the random walk hypothesis. A battery of tests, including procedures that are robust to conditional heteroscedasticity, are applied against linear alternatives to departures from the random walk. These tests are all based on the sample autocorrelations of the series of first differences of the logarithm of the monthly exchange r...
متن کاملTail Asymptotics for the Supremum of a Random Walk when the Mean Is not Finite
We consider the sums Sn = ξ1+· · ·+ξn of independent identically distributed random variables. We do not assume that the ξ ’s have a finite mean. Under subexponential type conditions on distribution of the summands, we find the asymptotics of the probability P{M > x} as x → ∞, provided that M = sup{Sn, n 1} is a proper random variable. Special attention is paid to the case of tails which are re...
متن کاملDoes the London Metal Exchange Follow a Random Walk? Evidence from the Predictability of Futures Prices
This paper analyses the validity of the weak-form market efficiency, using the random-walk hypothesis for the six industrial base metals copper, aluminium, zinc, nickel, tin and lead traded at the London Metal Exchange. I analyse the behaviour of daily and weekly prices of the daily rolling three-month futures contracts, as these contracts exhibit the highest level of trading activity. In contr...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2016
ISSN: 1556-5068
DOI: 10.2139/ssrn.2740946