Previsão dos preços de commodities por meio das taxas de câmbio
Keywords:
Commodities, Exchange rate, Granger causality test, Forecasting modelAbstract
This paper aims to model and predict the behavior of commodity prices using the
exchange rates of commodity-exporting countries. Understanding commodity price
dynamics is important for a proper control of inflation and planning of production. Our
results point to a causality relation between the exchange rate and commodity prices
for all countries under study except South Africa and Argentina. For Australia, Brazil,
Canada, Chile, Colombia and New Zealand the exchange rate is an important piece
of information to forecast commodity prices in-sample. For Australia and Canada, this
relation is also significant out-of-sample. Our results confirm those of Chen, Rogoff
and Rossi (2010) and extend that work to the cases of Argentina, Brazil, and Colombia.
Downloads
References
Cashin, P., Céspede, L. F. e Sahay, R. Commodity Currencies and the Real Exchange Rate. Journal of Development Economics 75, 239-268, 2004.
Chen, Y., Rogoff, K. e Rossi, B. Can Exchange Rates Forecast Commodity Prices? The Quarterly
Journal of Economics 125 (3), 1145-1194, 2010.
Clements, M. P. e Hendry, D. F. Forecasting Economic Time Series. Cambrige: Cambrige University Press, 1998.
Dieb old , F. e Mariano, R. Comparing Predictive Accuracy. Journal of Business and Economic
Statistics 13, 253-265, 1995.
Engel, C. e West, K. D. Exchange Rates and Fundamentals. Journal of Political Economy 113 (3),
-517, 2005.
Meese, R. A. e Rogoff, K. Empirical Exchange Rate Models of the Seventies. Do They Fit Out of
Sample? The Journal of International Economics 14, 3-24, 1983.
Pindyck, R. S. e Rotemberg, J. J. The Excess Co-movement of Commodity Prices. The Economic
Journal 100, 1173-1189, 1990.
Sarno, L. e Valente, G. Exchange Rates and Fundamentals: Footloose or Evolving Relationship.
Journal of the European Economic Association 7, 786-830, 2009.
Veríssimo, M. P., Xavier, L. C. e Vieira, J. J. Taxa de Câmbio e Preços de Commodities: Uma Investigação sobre a Hipótese da Doença Holandesa no Brasil. Anpec Vol. 13(1), 2012.
Downloads
Published
Issue
Section
License
Copyright (c) 2014 Davi Rosolen, Michael Viriato Araujo, Marco Tulio Lyrio
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
By submitting an article, the author authorizes its publication and attests that it has not been submitted to any other journal. The original article is considered final. Articles selected for publication are proofread for grammatical and orthographic errors. The journal does not pay rights for published articles. The Institute of Economic Research from the School of Economics, Business and Accounting of the University of São Paulo (Instituto de Pesquisas Econômicas da Faculdade de Economia, Administração e Contabilidade da Universidade de São Paulo) owns the journal's copyright.
