Dynamic Relationship of Commodities prices and EUR/USD exchange rate trends in the recent past
Michele Patanè (),
Mattia Tedesco () and
Stefano Zedda ()
Department of Economics University of Siena from Department of Economics, University of Siena
Gold and Oil have always had a central role within the international economy, and meet the interests of many investors, and in particular, speculators. The Euro introduction (1999) has added the Euro-Dollar exchange rate as a further main variable that the operators, investing on these commodities, have to consider when implementing their strategies. This paper analyzes the mutual relationship between commodities prices (gold and oil) and the Euro/Dollar exchange rate, within the time frame from 2004 to 2014, so to find which specific variable can give significant information on the ex-pected variation of which other variable, and on which time horizon. This can support the of investors’ choices on tak-ing more effective speculative positions. Results obtained by means of a VAR model show some significant statistical relationship between the three variables on the short term (i.e. when considering daily data), but also some possible relationship on a longer term (monthly data), suggesting that oil prices can give significant information on the expected value of the Euro/Dollar exchange rate.
Keywords: Commodities; Euro/Dollar Exchange Rate; Relationship (search for similar items in EconPapers)
JEL-codes: C22 E3 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:usi:wpaper:759
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