We examine the short-run and long-run dynamics of the correlation between exchange rate and commodity returns, and assess the extent to which the long-run correlation is determined by economic fundamentals. Our empirical analysis is based on the dynamic conditional correlation model with mixed-data sampling (DCC-MIDAS). This model separates the high-frequency from the low-frequency dynamics of volatility and correlation and allows us to relate long-run volatility and correlation to economic fundamentals. Using both economic and statistical criteria for performance evaluation, we find that economic fundamentals are important determinants of the long-run correlation between exchange rate and commodity returns.

我们研究了汇率与商品回报之间相关性的短期和长期动态，并评估了经济基本面决定长期相关性的程度。我们的实证分析基于混合数据采样的动态条件相关模型 (DCC-MIDAS)。该模型将波动性和相关性的高频动态与低频动态分开，并使我们能够将长期波动性和相关性与经济基本面联系起来。使用经济和统计标准进行绩效评估，我们发现经济基本面是汇率与商品回报之间长期相关性的重要决定因素。