Exchange rates and commodity prices: Granger causalityin the time-frequency domain

被引：4
|
作者：
Trezzi, Riccardo [1 ]
机构：
[1] Univ Cambridge, Fac Econ, Cambridge, England
来源：
APPLIED ECONOMICS LETTERS | 2014年 / 21卷 / 03期
关键词：
time-frequency domain; exchange rates; Granger causality; C50; F31;
D O I：
10.1080/13504851.2013.849377
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
I study the asset approach to exchange rates in the time-frequency domain. Using Australian data, I show that the Granger causality runs from the exchange rate to commodity prices - a proxy for economic fundamentals. This result holds at any point in time at business cycle and higher frequencies confirming the exchange rate present-value framework.
引用
收藏
页码：224 / 227
页数：4
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