Date of Award
Doctor of Business Administration (DBA)
Jack Welch College of Business
Dr. Lucjan T. Orlowski
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 become positive at stressful market conditions. The relationships between copper prices and USD exchange rates are inverse at normal market periods; they turn positive at times of financial distress. The relationships between returns on gold futures and on USD are very unstable.
C58, F31, G13
Sywak, M. (2017). Wavering interactions between commodity futures prices and USD exchange rates. Jack Welch College of Business dissertation, Sacred Heart University, Fairfield CT.
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