The empirical relationship between energy futures prices and exchange rates
The empirical relationship between energy futures prices and exchange rates
- Energy Economics, 22(2), p.253-266, 2000 .
This paper investigates the interaction between energy futures prices and exchange rates. Results are presented to show that futures prices for crude oil, heating oil and unleaded gasoline are co-integrated with a trade-weighted index of exchange rates. This is important because it means that there exists a long-run equilibrium relationship between these four variables. Granger causality results for both the long- and short-run are presented. Evidence is also presented that suggests exchange rates transmit exogenous shocks to energy futures prices.
CO-INTEGRATION
ENERGY FUTURES PRICES
GRANGER CAUSAL RELATIONS
This paper investigates the interaction between energy futures prices and exchange rates. Results are presented to show that futures prices for crude oil, heating oil and unleaded gasoline are co-integrated with a trade-weighted index of exchange rates. This is important because it means that there exists a long-run equilibrium relationship between these four variables. Granger causality results for both the long- and short-run are presented. Evidence is also presented that suggests exchange rates transmit exogenous shocks to energy futures prices.
CO-INTEGRATION
ENERGY FUTURES PRICES
GRANGER CAUSAL RELATIONS