Forecasting aluminum prices with commodity currencies

Pincheira, Pablo; Hardy, Nicolás

Forecasting aluminum prices with commodity currencies

dc.contributor.author	Pincheira, Pablo
dc.contributor.author	Hardy, Nicolás
dc.date.accessioned	2021-12-22T12:09:02Z
dc.date.available	2021-12-22T12:09:02Z
dc.date.issued	2021-06
dc.description.abstract	In this paper we show that the exchange rates of some commodity exporter countries have the ability to predict the price of spot and future contracts of aluminum. This is shown with both in-sample and out-of-sample analyses. The theoretical underpinning of these results relies on the present-value model for exchange rate determination and on the tight connection between some commodity prices and the currencies of some commodity exporter countries. We show results using traditional statistical metrics of forecast accuracy: Mean Squared Prediction Error and Mean Directional Accuracy. We also explore different ways in which we can jointly take advantage of the predictive information contained in all of our commodity-currencies. While LASSO and a model equipped with the first principal component of our currencies perform well, the best combination strategies involve the pre-selection of the two best performing individual currencies: The Chilean Peso and the Icelandic Krona.	en
dc.identifier.citation	Resources Policy, Vol. 73, N°102066, (2021) p. 1-17.	en
dc.identifier.doi	https://doi.org/10.1016/j.resourpol.2021.102066
dc.identifier.issn	0301-4207
dc.identifier.issne	1873-7641
dc.identifier.orcid	https://orcid.org/0000-0003-3866-0197
dc.identifier.uri	http://hdl.handle.net/20.500.12254/2180
dc.language.iso	en	en
dc.publisher	Elsevier	en
dc.rights	Atribución-NoComercial-CompartirIgual 3.0 Chile (CC BY-NC-SA 3.0 CL)
dc.rights.uri	http://creativecommons.org/licenses/by-nc-sa/3.0/cl/
dc.subject.other	Forecasting	en
dc.subject.other	Univariate time-series models	en
dc.subject.other	Exchange rates	en
dc.subject.other	Out-of-sample	en
dc.subject.other	Aluminum	en
dc.subject.other	Commodities	en
dc.title	Forecasting aluminum prices with commodity currencies	en
dc.type	Artículo	es