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Can oil prices forecast exchange rates? An empirical analysis of the relationship between commodity prices and exchange rates
16 references·16 citing·39 second hopsampled
Can oil prices forecast exchange rates? An empirical analysis of the relationship between commodity prices and exchange rates (2015)Can oil prices forecast exchange rates? A…Handbook of Economic Forecasting (2013)Handbook of Economic Forecast…Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Not All Oil Price Shocks Are …Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy? (2008)Exogenous Oil Supply Shocks: …Tests of Conditional Predictive Ability (2006)Tests of Conditional Predicti…Exchange Rates and Fundamentals (2005)Exchange Rates and Fundamenta…Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy: A Comment (2004)Oil Shocks and Aggregate Macr…Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Micro Effects of Macro Announ…Order Flow and Exchange Rate Dynamics (2002)Order Flow and Exchange Rate …Order Flow and Exchange Rate Dynamics (1999)Order Flow and Exchange Rate …Foundations of International Macroeconomics (1997)Foundations of International …Asymptotic Inference about Predictive Ability (1996)Asymptotic Inference about Pr…Exchange rates and fundamentals: Evidence on long-horizon predictability (1995)Exchange rates and fundamenta…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracyWas It Real? The Exchange Rate‐Interest Differential Relation over the Modern Floating‐Rate Period (1988)Was It Real? The Exchange Rat…Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…Essays in International Finance (2024)Essays in International Finan…Oil price shocks and exchange rate dynamics: Evidence from decomposed and partial connectedness measures for oil importing and exporting economies (2023)Oil price shocks and exchange…Climate risks and realized volatility of major commodity currency exchange rates (2022)Climate risks and realized vo…Network analysis of corn cash price comovements (2021)Network analysis of corn cash…Visiting the effects of oil price shocks on exchange rates: Quantile-on-quantile and causality-in-quantiles approaches (2020)Visiting the effects of oil p…The relationship between oil prices and exchange rates: Revisiting theory and evidence (2020)The relationship between oil …Risk spillover effects from global crude oil market to China’s commodity sectors (2020)Risk spillover effects from g…Price dynamics in corn cash and futures markets: cointegration, causality, and forecasting through a rolling window approach (2019)Price dynamics in corn cash a…Does the U.S. economic policy uncertainty connect financial markets? Evidence from oil and commodity currencies (2019)Does the U.S. economic policy…Can economic policy uncertainty predict exchange rate volatility? New evidence from the GARCH-MIDAS model (2019)Can economic policy uncertain…Influence Oil Price towards Economic Indicators in Russia (2018)Influence Oil Price towards E…Contemporaneous and Granger causality among US corn cash and futures prices (2018)Contemporaneous and Granger c…Futures Trading and the Excess Co-movement of Commodity Prices (2017)Futures Trading and the Exces…On the correlation between commodity and equity returns: Implications for portfolio allocation (2016)On the correlation between co…Oil price shocks and U.S. dollar exchange rates (2016)Oil price shocks and U.S. dol…Exogenous shocks and the spillover effects between uncertainty and oil price (2015)Exogenous shocks and the spil…Expectations and Exchange Rate Dynamics (1976)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Time Series Analysis: Forecasting and Control (1977)Macroeconomics and Reality (1980)Statistical analysis of cointegration vectors (1988)Chapter 4 Forecast Combinations (2006)Carbon Tail Risk (2018)Empirical Asset Pricing via Machine Learning (2020)The Purchasing Power Parity Puzzle (1996)Monetary Theory and Policy (1999)Forecasting Economic Time Series (2000)Atheoretical macroeconometrics: A critique (1985)Systematic Monetary Policy and the Effects of Oil Price Shocks (1997)THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL (2013)Oil prices, US stock return, and the dependence between their quantiles (2015)Risk, Return, and Equilibrium: Empirical Tests (1973)Macroeconomic Forecasting Using Diffusion Indexes (2002)A Test for Superior Predictive Ability (2005)Large Bayesian vector auto regressions (2009)Volatility forecast comparison using imperfect volatility proxies (2010)ARCH modeling in finance (1992)Discretion versus policy rules in practice (1993)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Real-time price discovery in global stock, bond and foreign exchange markets (2007)High-Frequency Trading and Price Discovery (2014)Evaluating Density Forecasts with Applications to Financial Risk Management (1998)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)The determinants of cross-border equity flows (2004)Financial Globalization: A Reappraisal (2006)Why Doesn't Capital Flow from Rich to Poor Countries? An Empirical Investigation (2008)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Testing the equality of prediction mean squared errors (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1994Comparing Predictive Accuracy5,495 cited
  • 1995Comparing Predictive Accuracy5,214 cited
  • 2009Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market4,637 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1997Foundations of International Macroeconomics2,980 cited
  • 2006Tests of Conditional Predictive Ability1,667 cited
  • 1996Asymptotic Inference about Predictive Ability1,415 cited
  • 2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange1,377 cited
  • 2013Handbook of Economic Forecasting1,216 cited
  • 1995Exchange rates and fundamentals: Evidence on long-horizon predictability1,044 cited
  • 2002Order Flow and Exchange Rate Dynamics957 cited
  • 2008Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy?926 cited
  • 1988Was It Real? The Exchange Rate‐Interest Differential Relation over the Modern Floating‐Rate Period825 cited
  • 2005Exchange Rates and Fundamentals808 cited
  • 1999Order Flow and Exchange Rate Dynamics790 cited
  • 2004

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Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy: A Comment
733 cited

Cited by

  • 2020The relationship between oil prices and exchange rates: Revisiting theory and evidence218 cited
  • 2019Does the U.S. economic policy uncertainty connect financial markets? Evidence from oil and commodity currencies178 cited
  • 2018Contemporaneous and Granger causality among US corn cash and futures prices154 cited
  • 2016Oil price shocks and U.S. dollar exchange rates128 cited
  • 2024Essays in International Finance122 cited
  • 2019Can economic policy uncertainty predict exchange rate volatility? New evidence from the GARCH-MIDAS model115 cited
  • 2018Influence Oil Price towards Economic Indicators in Russia100 cited
  • 2019Price dynamics in corn cash and futures markets: cointegration, causality, and forecasting through a rolling window approach100 cited
  • 2020Risk spillover effects from global crude oil market to China’s commodity sectors97 cited
  • 2022Climate risks and realized volatility of major commodity currency exchange rates95 cited
  • 2016On the correlation between commodity and equity returns: Implications for portfolio allocation95 cited
  • 2020Visiting the effects of oil price shocks on exchange rates: Quantile-on-quantile and causality-in-quantiles approaches89 cited
  • 2017Futures Trading and the Excess Co-movement of Commodity Prices87 cited
  • 2021Network analysis of corn cash price comovements86 cited
  • 2015Exogenous shocks and the spillover effects between uncertainty and oil price85 cited
  • 2023Oil price shocks and exchange rate dynamics: Evidence from decomposed and partial connectedness measures for oil importing and exporting economies79 cited