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.