Aggregation bias in tests of the commodity currency hypothesis *

被引:2
|
作者
Bork, Lasse [1 ]
Kaltwasser, Pablo Rovira [2 ]
Sercu, Piet [3 ]
机构
[1] Aalborg Univ, Business Sch, Aalborg, Denmark
[2] Katholieke Univ Leuven, Fac Econ & Business Studies, Leuven, Belgium
[3] Katholieke Univ Leuven, Dept Accounting Finance & Insurance, Leuven, Belgium
关键词
Commodity prices; Exchange rates; Forecasting; Present value model; EXCHANGE-RATES; STOCK RETURNS; PRICES; HETEROSKEDASTICITY; CAUSALITY; ACCURACY;
D O I
10.1016/j.jbankfin.2021.106392
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
According to the commodity currency hypothesis (CCH), a country's commodity-export prices are predicted by its exchange rate. We investigate two types of aggregation biases that might affect CCH tests. First, monthly commodity prices are sometimes averaged across all days of the month, a practice that creates substantial spurious predictability in price changes. Second, in CCH tests commodity prices are often grouped into an index. If all commodity prices do not react equally fast to news, the active goods' prices should lead those of the slower-acting ones and therefore predict the index. If so, the currency's value changes can proxy for these active goods' prices. We find a strong bias from price averaging in monthly returns, while the bias from ignoring predictability among commodities seems weak. When testing the CCH using end-of-period data the supporting evidence is weak at best. (c) 2021 Published by Elsevier B.V.
引用
收藏
页数:24
相关论文
共 50 条
  • [1] Noncausality and the commodity currency hypothesis
    Lof, Matthijs
    Nyberg, Henri
    [J]. ENERGY ECONOMICS, 2017, 65 : 424 - 433
  • [2] Aggregation bias and the benign neglect hypothesis
    Myer, Andrew
    Chamlin, Mitchell
    [J]. JOURNAL OF CRIME & JUSTICE, 2011, 34 (02): : 124 - 138
  • [3] COMMODITY CURRENCY AND COMMODITY STORAGE
    Calsoyas, C. D.
    [J]. AMERICAN ECONOMIC REVIEW, 1948, 38 (03): : 341 - 352
  • [4] A note on commodity price aggregation bias without separability
    Sarmiento, C
    Just, RE
    [J]. APPLIED ECONOMICS LETTERS, 2006, 13 (06) : 365 - 368
  • [5] A COMMODITY RESERVE CURRENCY
    Hayek, F. A.
    [J]. ECONOMIC JOURNAL, 1943, 53 (210-11): : 176 - 184
  • [6] Forecasting fuel prices with the Chilean exchange rate: Going beyond the commodity currency hypothesis
    Pincheira-Brown, Pablo
    Bentancor, Andrea
    Hardy, Nicolás
    Jarsun, Nabil
    [J]. Energy Economics, 2022, 106
  • [7] Forecasting fuel prices with the Chilean exchange rate: Going beyond the commodity currency hypothesis
    Pincheira-Brown, Pablo
    Bentancor, Andrea
    Hardy, Nicolas
    Jarsun, Nabil
    [J]. ENERGY ECONOMICS, 2022, 106
  • [8] Commodity-currencies or currency-commodities: Evidence from causality tests
    Belasen, Ariel R.
    Demirer, Riza
    [J]. RESOURCES POLICY, 2019, 60 : 162 - 168
  • [9] Commodity currencies and currency commodities
    Clements, Kenneth W.
    Fry, Renee
    [J]. RESOURCES POLICY, 2008, 33 (02) : 55 - 73
  • [10] COMMODITY-RESERVE CURRENCY
    Friedman, Milton
    [J]. JOURNAL OF POLITICAL ECONOMY, 1951, 59 (03) : 203 - 232