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The empirical relationship between energy futures prices and exchange rates

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  • Sadorsky, Perry
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    File URL: http://www.sciencedirect.com/science/article/B6V7G-408KDBF-4/2/b796d9eac6a706e939f8f12729579209
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    Bibliographic Info

    Article provided by Elsevier in its journal Energy Economics.

    Volume (Year): 22 (2000)
    Issue (Month): 2 (April)
    Pages: 253-266

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    Handle: RePEc:eee:eneeco:v:22:y:2000:i:2:p:253-266

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    Web page: http://www.elsevier.com/locate/eneco

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    1. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    2. Gregory, Allan W. & Hansen, Bruce E., 1996. "Residual-based tests for cointegration in models with regime shifts," Journal of Econometrics, Elsevier, vol. 70(1), pages 99-126, January.
    3. S. Brock Blomberg & Ethan S. Harris, 1995. "The commodity-consumer price connection: fact or fable?," Economic Policy Review, Federal Reserve Bank of New York, issue Oct, pages 21-38.
    4. Paul R. Krugman, 1983. "Oil and the Dollar," NBER Working Papers 0554, National Bureau of Economic Research, Inc.
    5. Fama, Eugene F & French, Kenneth R, 1987. "Commodity Futures Prices: Some Evidence on Forecast Power, Premiums,and the Theory of Storage," The Journal of Business, University of Chicago Press, vol. 60(1), pages 55-73, January.
    6. Perron, P., 1994. "Further Evidence on Breaking Trend Functions in Macroeconomic Variables," Cahiers de recherche 9421, Centre interuniversitaire de recherche en ├ęconomie quantitative, CIREQ.
    7. Paul Krugman, 1983. "Oil Shocks and Exchange Rate Dynamics," NBER Chapters, in: Exchange Rates and International Macroeconomics, pages 259-284 National Bureau of Economic Research, Inc.
    8. Granger, C. W. J., 1988. "Some recent development in a concept of causality," Journal of Econometrics, Elsevier, vol. 39(1-2), pages 199-211.
    9. Golub, Stephen S, 1983. "Oil Prices and Exchange Rates," Economic Journal, Royal Economic Society, vol. 93(371), pages 576-93, September.
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