A Bayesian Nonparametric Investigation of the Predictive Effect of Exchange Rates on Commodity Prices

作     者：Xin Jin Xin Jin

作者机构：School of EconomicsShanghai University of Finance and Economics(SUFE)Shanghai 200433China Key Laboratory of Mathematical Economics(SUFE)Ministry of EducationShanghai 200433China 

出 版 物：《Frontiers of Economics in China-Selected Publications from Chinese Universities》 (中国高等学校学术文摘·经济学（英文版）)

年 卷 期：2020年第15卷第2期

页      面：179-210页

学科分类：0202[经济学-应用经济学] 02[经济学] 1202[管理学-工商管理] 0201[经济学-理论经济学] 020205[经济学-产业经济学] 0701[理学-数学] 

基　　金：The author acknowledges financial support from the National Natural Science Foundation of China(NSFC No.71773069) 

主　　题：Bayesian nonparametrics Dirichlet process mixture stick-breaking process Markov China Monte Carlo(MCMC) predictive likelihood foreign exchange rate commodity price 

摘      要：This study proposes a full Bayesian nonparametric procedure to investigate the predictive power of exchange rates in relation to commodity prices for three commodity-exporting countries:Canada,Australia,and New *** propose a new time-dependent infinite mixture of a normal linear regression model of the conditional distribution of the commodity price *** mixing weights follow a set of Probit stick-breaking priors that are *** find that exchange rates have a positive predictive effect in general,but accounting for time variation does not improve forecasting *** contrast,the intercept in the regression and the lagged dependent variable show signs of parameter change over time in most cases,which is important in forecasting both the mean and the density of commodity prices one period *** results also suggest that the variance is a large source of the time variation in the conditional distribution of commodity prices.