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The empirical relationship between energy futures prices and exchange rates

Tipo de material: TextoTextoSeries ; Energy Economics, 22(2), p.253-266, 2000Trabajos contenidos:
  • Perry Sadorsky
Tema(s): Recursos en línea: Resumen: 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.
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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.

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