Exchange rates and commodity prices: Measuring causality at multiple horizons

Zhang, Hui‐Jun; Dufour, Jean–Marie; Galbraith, John W.

doi:10.1016/j.jempfin.2015.10.005

Cited by 95 publications

(49 citation statements)

References 48 publications

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“…These are fairly strong assumptions and at odds with other results suggesting that oil (and other commodities) can affect the exchange rate over longer time horizons (Beckmann et al., ; Zhang et al., ) . Additionally, Groh and Rotchschild do not address the possibility of endogeneity, though to the extent oil‐rich countries export their resources abroad, per capita rents will be determined by international prices (Beckmann et al., ; Chen et al., ; Zhang et al., ).…”

Section: Evaluating the Mechanismsmentioning

confidence: 70%

“…However, further study is needed. For one, to replicate Ross's own research design, Groh and Rotchschild estimate only the short‐run effects of oil wealth, though the variables may have a longer run relationship (Beckmann, Czudaj, & Arora, ; Zhang, Dufour, & Galbraith, ). For two, they do not account for the potential endogeneity of oil rents to exchange rates (Beckmann et al., ; Chen, Rogoff, & Rossi, ; Zhang et al., ).…”

Section: Introductionmentioning

confidence: 99%

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Does oil substitute for patriarchy?

Simmons

2018

Economics & Politics

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Critics of Ross's (American Political Science Review, 102, 2008, 107) gendered resource curse thesis argue that culture trumps oil wealth as a determinant of female labor force participation (FLFP). Here, I argue that, while cultural attributes do indeed affect the female labor supply, oil wealth reduces the demand for female labor by hurting the export‐oriented industries that employ female labor intensively. By reducing the demand for female labor in this way, oil wealth undermines the positive effect of gender egalitarianism on FLFP. Thus, oil curses women. Using data from the World Values Survey and the World Bank, I find support for the argument.

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Section: Evaluating the Mechanismsmentioning

confidence: 70%

Section: Introductionmentioning

confidence: 99%

Does oil substitute for patriarchy?

Simmons

2018

Economics & Politics

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“…The correlation between the WTI spot price and the scale of the noncommercial net position is less than 0.2, indicating that the two are unconnected. Meanwhile, the dynamic relationship between commodity prices and exchange rates has attracted much attention, although the direction of causality between these two is still controversial among studies [53][54][55]. For example, Blomberg and Harris [56] indicated exchange rate movements as an important stimulus for commodity price changes.…”

Section: Data Descriptionmentioning

confidence: 99%

Forecasting Long-Term Crude Oil Prices Using a Bayesian Model with Informative Priors

Lee

Huh

2017

Sustainability

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Abstract:In the long-term, crude oil prices may impact the economic stability and sustainability of many countries, especially those depending on oil imports. This study thus suggests an alternative model for accurately forecasting oil prices while reflecting structural changes in the oil market by using a Bayesian approach. The prior information is derived from the recent and expected structure of the oil market, using a subjective approach, and then updated with available market data. The model includes as independent variables factors affecting oil prices, such as world oil demand and supply, the financial situation, upstream costs, and geopolitical events. To test the model's forecasting performance, it is compared with other models, including a linear ordinary least squares model and a neural network model. The proposed model outperforms on the forecasting performance test even though the neural network model shows the best results on a goodness-of-fit test. The results show that the crude oil price is estimated to increase to $169.3/Bbl by 2040.

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“…• [5] analyzed the relation between some commodities (gold, oil and copper) and the exchange rate of their producing countries (Canada, Australia and show a link between all variables in the short term; on the other hand these links don't exist for longer period.…”

Section: Literature Reviewmentioning

confidence: 99%

“…• [6] analyzed the dynamic relationship between the price of oil, exchange rate 4 and the price of shares 5 through the implementation of a vector autoregression model. The results obtained show that positive shocks in oil prices tend, in the short term, to depress the stock price and the exchange rate, while positive shocks in oil production tend to lower the oil price, and positive shocks on the real economic activity, instead, typically induce the oil price to rise.…”

Section: Literature Reviewmentioning

confidence: 99%

Dynamic Relationship of Commodities Prices and EUR/USD Exchange Rate Trends in the Recent Past

Patanè¹,

Tedesco²,

Zedda³

2017

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Gold and Oil have always had a central role within the international economy, and meet the interests of many investors, and in particular, speculators. The Euro introduction (1999) has added the Euro-Dollar exchange rate as a further main variable that the operators, investing on these commodities, have to consider when implementing their strategies. This paper analyzes the mutual relationship between commodities prices (gold and oil) and the Euro/Dollar exchange rate, within the time frame from 2004 to 2014, so to find which specific variable can give significant information on the expected variation of other variables and on which time horizon. This can support the of investors' choices on taking more effective speculative positions. Results obtained by means of a VAR model show some significant statistical relationship between the three variables on the short term (i.e. when considering daily data), but also some possible relationship on a longer term (monthly data), suggesting that oil prices can give significant information on the expected value of the Euro/Dollar exchange rate.

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Exchange rates and commodity prices: Measuring causality at multiple horizons

Cited by 95 publications

References 48 publications

Does oil substitute for patriarchy?

Does oil substitute for patriarchy?

Forecasting Long-Term Crude Oil Prices Using a Bayesian Model with Informative Priors

Dynamic Relationship of Commodities Prices and EUR/USD Exchange Rate Trends in the Recent Past

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