Can Exchange Rates Forecast Commodity Prices?
研究发现“商品货币”汇率在样本内和样本外都能稳健预测全球大宗商品价格，对缺乏远期市场的政策制定者尤其有用。
We show that "commodity currency" exchange rates have surprisingly robust power in predicting global commodity prices, both in-sample and out-of-sample, and against a variety of alternative benchmarks. This result is of particular interest to policy makers, given the lack of deep forward markets in many individual commodities, and broad aggregate commodity indices in particular. We also explore the reverse relationship (commodity prices forecasting exchange rates) but find it to be notably less robust. We offer a theoretical resolution, based on the fact that exchange rates are strongly forward-looking, whereas commodity price fluctuations are typically more sensitive to short-term demand imbalances. (c) 2010 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology..