The empirical relationship between energy futures prices and exchange rates

被引：142
|
作者：
Sadorsky, P
机构：
[1] York Univ, Schulich Sch Business, N York, ON M3J 1P3, Canada
[2] Univ Calif Davis, Davis, CA 95616 USA
来源：
ENERGY ECONOMICS | 2000年 / 22卷 / 02期
关键词：
co-integration; energy futures prices; Granger causal relations;
D O I：
10.1016/S0140-9883(99)00027-4
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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. (C) 2000 Elsevier Science B.V. All rights reserved. JEL classifications: Q41; F31.
引用
收藏
页码：253 / 266
页数：14
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