TY  - BOOK
AU  - Perry Sadorsky
TI  - The empirical relationship between energy futures prices and exchange rates
KW  - CO-INTEGRATION
KW  - ENERGY FUTURES PRICES
KW  - GRANGER CAUSAL RELATIONS
N2  - 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
UR  - https://drive.google.com/file/d/1weSFh4M41fjLdff9Kx17wiQJ0x5XrsNd/view?usp=drivesdk
ER  -