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Business Administration, Management, and Operations
Commodity prices; exchange rates; multiple breakpoint regression; USD exchange rates.
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Wavering Interactions Between Commodity Futures Prices And Usd Exchange Rates, Monika Sywak
Wavering Interactions Between Commodity Futures Prices And Usd Exchange Rates, Monika Sywak
Doctoral Dissertations (DBA)
This paper examines the intricate impact of commodity futures prices on US dollar exchange rates. The daily data on returns on futures and on USD are tested with Bayesian VAR, multiple breakpoint regression and two-state Markov switching. The tested commodity futures include West Texas Intermediate and Brent crude oil, as well as copper and gold. The tests imply that changes in commodity returns inversely affect USD exchange rates. This relationship is not uniform across the tested commodity futures and is affected by market risk. The relationships between crude oil futures prices and USD exchange rates are normally negative but they …