文章基本信息

标题：Wavering interactions between commodity futures prices and us dollar exchange rates
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作者：Nuri Andarwulan ; Gema Noor Muhammad ; Afifah Z.Agista 等
期刊名称：Quantitative Finance and Economics
电子版ISSN：2573-0134
出版年度：2019
卷号：3
期号：2
页码：221-243
DOI：10.3934/QFE.2019.2.221
语种：English
出版社：AIMS Press
摘要：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.
关键词：commodity futures prices;USD exchange rates;multiple breakpoint regression;Bayesian VAR;Markov switching