Energy Futures Prices and the US Dollar Exchange Rate

Research output: Contribution to journalArticle

3 Citations (Scopus)

Abstract

This paper evaluates the relationship among the NYMEX futures prices for crude oil, unleaded gasoline, heating oil and the US trade‐weighted exchange rate. The motivation is to update and extend the literature in an attempt to determine the relationship between the US exchange rate and energy prices. In addition, the causal relationships among the energy futures prices are examined. Cointegration is detected among the variables, but contrary to the existing empirical literature, it is found that the US exchange rate can be excluded from the cointegrating space. The Granger causality tests and impulse response functions also indicate that the US exchange rate is not related to the energy prices. The recursive cointegration analysis reveals that the relationship between the US exchange rate and the energy futures prices has faded across time.
Original languageEnglish
Pages (from-to)62-73
Number of pages12
JournalAustralian Economic Papers
Volume50
Issue number2-3
DOIs
Publication statusPublished - 2011
Externally publishedYes

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Energy
Futures prices
Exchange rates
Energy prices
Impulse response function
Heating
Granger causality test
Oil
Cointegration
Cointegration analysis
Crude oil

Cite this

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Energy Futures Prices and the US Dollar Exchange Rate. / Li, Raymond.

In: Australian Economic Papers, Vol. 50, No. 2-3, 2011, p. 62-73.

Research output: Contribution to journalArticle

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