TITLE:
Dynamic Relationship of Commodities Prices and EUR/USD Exchange Rate Trends in the Recent Past
AUTHORS:
Michele Patanè, Mattia Tedesco, Stefano Zedda
KEYWORDS:
Commodities, Euro/Dollar Exchange Rate, Relationship
JOURNAL NAME:
Modern Economy,
Vol.8 No.8,
August
4,
2017
ABSTRACT: 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 expected
variation of other variables and on which time horizon. This can support the of
investors’ choices on taking 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.