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Can commodity prices predict exchange rates in developed commodity-exporting economies?

Hanssen, Stacy; Arendt, Peder
Master thesis
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1757953.pdf (5.601Mb)
ny-prelim.pdf (1.651Mb)
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http://hdl.handle.net/11250/2477006
Utgivelsesdato
2017
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Samlinger
  • Master of Science [1116]
Sammendrag
In this paper, we study the exchange rate behavior of the commodity exporting

economies Canada, Norway, Australia, and New Zealand, by testing the

relationship to commodity prices and macroeconomic fundamentals. We find that

commodity prices do exhibit predictive ability on exchange rates on the monthly

basis when using USD as the base currency. We also find that commodity prices

have a different impact on commodity exporters compared to non-commodity

exporters. We conclude that commodity prices are a more powerful explanatory

variable than interest rates and purchasing power parity, when forecasting insample

exchange rate changes and returns on a monthly basis with the U.S. dollar

as the numeraire currency. However, we must raise awareness that our findings

may be induced by the strong ties between the U.S. Dollar and the commodity

markets, as our initial findings fails the robustness test where British Pound

Sterling is used as the numeraire currency.
Beskrivelse
Masteroppgave(MSc) in Master of Science in Finance - Handelshøyskolen BI, 2017
Utgiver
BI Norwegian Business School

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