Exchange rates and commodity prices: Granger causality in the time--frequency domain
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.
Year of publication: |
2014
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Authors: | Trezzi, Riccardo |
Published in: |
Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 21.2014, 3, p. 224-227
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Publisher: |
Taylor & Francis Journals |
Saved in:
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