Wavering interactions between commodity futures prices and us dollar exchange rates
| Autor: | Lucjan T. Orlowski, Monika Sywak |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2019 |
| Předmět: |
West Texas Intermediate
lcsh:T57-57.97 General Medicine Monetary economics Bayesian vector autoregression Brent Crude symbols.namesake Us dollar Exchange rate Market risk commodity futures prices| USD exchange rates| multiple breakpoint regression| Bayesian VAR| Markov switching Settlement (finance) lcsh:Applied mathematics. Quantitative methods lcsh:Finance lcsh:HG1-9999 Economics symbols Futures contract |
| Zdroj: | Quantitative Finance and Economics, Vol 3, Iss 2, Pp 221-243 (2019) |
| ISSN: | 2573-0134 |
| Popis: | This paper examines the intricate impact of commodity futures settlement prices on USD exchange rates. The daily data on changes in logs of futures prices and changes in logs of US dollar in euro and USD trade weighted exchange rate are tested with Bayesian VAR, multiple breakpoint regression and two-state Markov switching. Commodities include West Texas Intermediate and Brent crude oil, as well as copper and gold. The tests imply prevalence of an inverse relationship between changes in commodity futures prices and USD exchange rates, but their interactions become positive at stressful market conditions. Strengths, statistical significance and causal interactions between commodity futures prices and USD exchange rate depend on the type of commodities and market risk conditions. The relationship between WTI and USD exchange rates has been strengthening over time. Interactions between changes in gold prices and the exchange rate are very unstable. |
| Databáze: | OpenAIRE |
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