Chen, Yu-Chin; Rogoff, Kenneth S.; Rossi, Barbara - In: The Quarterly Journal of Economics 125 (2010) 3, pp. 1145-1194
We show that "commodity currency" exchange rates have surprisingly robust power in predicting global commodity prices, both in-sample and out-of-sample, and against a variety of alternative benchmarks. This result is of particular interest to policy makers, given the lack of deep forward markets...