What About Asymmetric Loss? A Real-Time Quantile-Regression Update on the AUD-Yen Exchange Rate

36 Pages Posted: 13 Oct 2018

See all articles by Sebastian Rohloff

Sebastian Rohloff

University of the German Federal Armed Forces - Helmut Schmidt Universit├Ąt

Date Written: September 23, 2018

Abstract

I use a real-time quantile-regression approach to analyze whether commodity prices have predictive value for movements of the Australian dollar-Japanese yen exchange rate. I use various alternative datasets that contain the Goldman Sachs Commodity Index and its five subindices to analyze the impact of commodities on forecast accuracy of the AUDyen rate. I find evidence that monetary exchange rate forecasting models that include commodity prices are able to outperform a random walk, as far as the forecaster has an asymmetric loss function, and a constant returns model as well.

Keywords: Quantile Regression, Exchange Rates, Commodity Prices, Forecasting

JEL Classification: C53, E17, Q02

Suggested Citation

Rohloff, Sebastian, What About Asymmetric Loss? A Real-Time Quantile-Regression Update on the AUD-Yen Exchange Rate (September 23, 2018). Available at SSRN: https://ssrn.com/abstract=3253806 or http://dx.doi.org/10.2139/ssrn.3253806

Sebastian Rohloff (Contact Author)

University of the German Federal Armed Forces - Helmut Schmidt Universit├Ąt ( email )

Holstenhofweg 85
Hamburg, 22008
Germany

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