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Kieran Burgess and Nicholas Rohde
 
''Can Exchange Rates Forecast Commodity Prices? Recent Evidence using Australian Data''
( 2013, Vol. 33 No.1 )
 
 
Recent papers by Chen et al (2009, 2010) suggest that exchange rates have predictive power over future commodity price movements. We use a Vector Error-Correction model to test this hypothesis using Australian data. We find substantial evidence of in-sample forecasting power but are unable to consistently out-perform naïve benchmarks for out-of-sample forecasts.
 
 
Keywords: Forecasting, Time-Series, Cointegration, Vector Error-Correction
JEL: F3 - International Finance: General
 
Manuscript Received : May 29 2012 Manuscript Accepted : Mar 04 2013

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