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Commodity Currencies Revisited

hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorPassari, Evgenia*
dc.date.accessioned2015-06-15T12:19:43Z
dc.date.available2015-06-15T12:19:43Z
dc.date.issued2015-06
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/15216
dc.language.isoenen
dc.subjectForeign Exchangeen
dc.subjectCommodity Currenciesen
dc.subjectAsset Pricingen
dc.subject.ddc332en
dc.subject.classificationjelF.F3.F31en
dc.subject.classificationjelF.F3.F37en
dc.subject.classificationjelG.G1.G10en
dc.subject.classificationjelG.G1.G11en
dc.titleCommodity Currencies Revisiteden
dc.typeCommunication / Conférence
dc.description.abstractenI build an exchange rate strategy that trades currencies conditional on changes in the global prices of commodity indices; hence, termed “commodity strategy”. First, I document that commodity prices have signicant out-of-sample forecasting ability for the future exchange rates of several commodity exporters and importers at the daily frequency. However, I report that the reverse forecasting relationship does not survive out-of-sample testing. Second, I find a signicant cross-sectional spread, in both spot and excess returns, of 6% p.a. between the currencies that are predicted to appreciate and those that are predicted to depreciate. The returns appear to be uncorrelated to those of popular exchange rate strategies such as the carry trade and currency momentum. Furthermore, the spread in returns is not explained by traditional risk factors; however, it is partly accounted for by the strategy’s high transaction costs. Net probability can be restored by either implementing a simple market timing rule or by investing in developed markets with low costs and high liquidity.en
dc.identifier.citationpages63en
dc.subject.ddclabelEconomie financièreen
dc.relation.conftitle32nd International Conference of the French Finance Association - AFFI 2015en
dc.relation.confdate2015-06
dc.relation.confcityCergyen
dc.relation.confcountryFranceen
dc.relation.forthcomingnonen
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewednon
hal.identifierhal-01453266*
hal.version1*
hal.update.actionupdateMetadata*
hal.author.functionaut


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