Looking Under the Hood of Commodity Currency Predictability

The authors are grateful to the Editor, Lukas Schmid, the Associate Editor, and two anonymous referees for their helpful comments and suggestions. The authors also thank Patrick Augustin, Geert Bekaert, Mike Chernov, Philippe Cote, Pasquale Della Corte, Magnus Dahlquist, Christian Dorion, Mathieu Fournier, Mark Huson, Kentaro Iwatsubo (discussant), Òscar Jordà, Lukas Kremens, Richard Levich, Lubos Pastor, Ella Patelli, Rob Ready (discussant), Steven Riddiough (discussant), Nick Roussanov, Ivan Shaliastovich (discussant), Kirsten Smart, Elvira Sojli, Fabricius Somogyi (discussant), Simon Van Norden, Pascale Valéry, Adrien Verdelhan, Robert Vigfusson (discussant), Colin Ward, Masahiro Watanabe, Shaojun Zhang, and the participants at the JPMCC International Symposium, Frontiers in Finance Conference, Vienna Symposium on Foreign Exchange Markets, Australasian Finance and Banking Conference, FIRN, Banque de France’s workshop on Macroeconomic and Financial Implications of Commodity Market Fluctuations, MFA, the Reserve Bank of Australia, the Reserve Bank of New Zealand, Fulcrum Asset Management, HEC Montréal, Hitotsubashi University, Kobe University, University of Wellington, and UNSW.