Matches in SemOpenAlex for { <https://semopenalex.org/work/W4206607002> ?p ?o ?g. }
- W4206607002 endingPage "105802" @default.
- W4206607002 startingPage "105802" @default.
- W4206607002 abstract "In this paper we show that the Chilean exchange rate has the ability to predict the returns of oil and of three additional oil-related products: gasoline, propane and heating oil. We show this using both in- and out-of sample exercises at multiple horizons. Natural explanations for our findings rely on the well know “dollar effect” and on the present-value theory for exchange rate determination in combination with the strong co-movement displayed by fuel and metal prices. Given that the Chilean economy is heavily influenced by copper, which represents nearly 50% of total national exports, the floating Chilean Peso is importantly affected by price fluctuations in this metal. As oil-related products display an important co-movement with base metal prices, it is reasonable to expect evidence of Granger causality from the Chilean peso to these oil-related products. Interestingly, we provide sound evidence indicating that the predictive ability of the Chilean Peso goes beyond these natural explanations. In particular, we show another plausible predictive channel: volatility in combination with a negative contemporaneous leverage effect in fuel returns. Finally, we compare the Chilean peso with other commodity-currencies in their ability to predict fuel returns. The Chilean peso fares extremely well in this competition, especially at short horizons of one, three and six months." @default.
- W4206607002 created "2022-01-25" @default.
- W4206607002 creator A5033045036 @default.
- W4206607002 creator A5061395989 @default.
- W4206607002 creator A5081728018 @default.
- W4206607002 creator A5085863044 @default.
- W4206607002 date "2022-02-01" @default.
- W4206607002 modified "2023-10-16" @default.
- W4206607002 title "Forecasting fuel prices with the Chilean exchange rate: Going beyond the commodity currency hypothesis" @default.
- W4206607002 cites W1499433741 @default.
- W4206607002 cites W1576527543 @default.
- W4206607002 cites W1605276600 @default.
- W4206607002 cites W1974803093 @default.
- W4206607002 cites W2012682800 @default.
- W4206607002 cites W2035611161 @default.
- W4206607002 cites W2037889385 @default.
- W4206607002 cites W2039675248 @default.
- W4206607002 cites W2065881698 @default.
- W4206607002 cites W2066326977 @default.
- W4206607002 cites W2096366126 @default.
- W4206607002 cites W2099954488 @default.
- W4206607002 cites W2100068880 @default.
- W4206607002 cites W2110623779 @default.
- W4206607002 cites W2113983529 @default.
- W4206607002 cites W2117178635 @default.
- W4206607002 cites W2127659392 @default.
- W4206607002 cites W2128156079 @default.
- W4206607002 cites W2139116473 @default.
- W4206607002 cites W2561461215 @default.
- W4206607002 cites W2606006019 @default.
- W4206607002 cites W2618116905 @default.
- W4206607002 cites W2902773775 @default.
- W4206607002 cites W2906694063 @default.
- W4206607002 cites W2936168054 @default.
- W4206607002 cites W3021143990 @default.
- W4206607002 cites W3121346496 @default.
- W4206607002 cites W3121859128 @default.
- W4206607002 cites W3122131252 @default.
- W4206607002 cites W3122243239 @default.
- W4206607002 cites W3122475708 @default.
- W4206607002 cites W3122586223 @default.
- W4206607002 cites W3124347368 @default.
- W4206607002 cites W3124417717 @default.
- W4206607002 cites W3124550551 @default.
- W4206607002 cites W3124690764 @default.
- W4206607002 cites W3124797040 @default.
- W4206607002 cites W3125011863 @default.
- W4206607002 cites W3125340672 @default.
- W4206607002 cites W3125665000 @default.
- W4206607002 cites W3169100372 @default.
- W4206607002 cites W4230687924 @default.
- W4206607002 doi "https://doi.org/10.1016/j.eneco.2021.105802" @default.
- W4206607002 hasPublicationYear "2022" @default.
- W4206607002 type Work @default.
- W4206607002 citedByCount "7" @default.
- W4206607002 countsByYear W42066070022022 @default.
- W4206607002 countsByYear W42066070022023 @default.
- W4206607002 crossrefType "journal-article" @default.
- W4206607002 hasAuthorship W4206607002A5033045036 @default.
- W4206607002 hasAuthorship W4206607002A5061395989 @default.
- W4206607002 hasAuthorship W4206607002A5081728018 @default.
- W4206607002 hasAuthorship W4206607002A5085863044 @default.
- W4206607002 hasConcept C10138342 @default.
- W4206607002 hasConcept C106159729 @default.
- W4206607002 hasConcept C109168655 @default.
- W4206607002 hasConcept C141121606 @default.
- W4206607002 hasConcept C149782125 @default.
- W4206607002 hasConcept C162324750 @default.
- W4206607002 hasConcept C2776988154 @default.
- W4206607002 hasConcept C556758197 @default.
- W4206607002 hasConcept C70784835 @default.
- W4206607002 hasConcept C91602232 @default.
- W4206607002 hasConceptScore W4206607002C10138342 @default.
- W4206607002 hasConceptScore W4206607002C106159729 @default.
- W4206607002 hasConceptScore W4206607002C109168655 @default.
- W4206607002 hasConceptScore W4206607002C141121606 @default.
- W4206607002 hasConceptScore W4206607002C149782125 @default.
- W4206607002 hasConceptScore W4206607002C162324750 @default.
- W4206607002 hasConceptScore W4206607002C2776988154 @default.
- W4206607002 hasConceptScore W4206607002C556758197 @default.
- W4206607002 hasConceptScore W4206607002C70784835 @default.
- W4206607002 hasConceptScore W4206607002C91602232 @default.
- W4206607002 hasLocation W42066070021 @default.
- W4206607002 hasOpenAccess W4206607002 @default.
- W4206607002 hasPrimaryLocation W42066070021 @default.
- W4206607002 hasRelatedWork W2048208342 @default.
- W4206607002 hasRelatedWork W2135617655 @default.
- W4206607002 hasRelatedWork W2620004039 @default.
- W4206607002 hasRelatedWork W2755602841 @default.
- W4206607002 hasRelatedWork W2958537070 @default.
- W4206607002 hasRelatedWork W3123235287 @default.
- W4206607002 hasRelatedWork W3125073960 @default.
- W4206607002 hasRelatedWork W3125626747 @default.
- W4206607002 hasRelatedWork W3198649105 @default.
- W4206607002 hasRelatedWork W3198703075 @default.
- W4206607002 hasVolume "106" @default.
- W4206607002 isParatext "false" @default.
- W4206607002 isRetracted "false" @default.