The Granger causality analysis of crude oil futures price and U.S. dollar value

The paper presents the results of causality-in-mean and causality-in-variance tests among crude oil futures price and U.S. Dollar Index. The testing procedure introduced by Cheung and Ng and Hong is applied. Cheung and Ng proposed to examine correlation coefficients between lagged values of the time series. Hong proposed to use a flexible weighting scheme for the sample cross-correlation at each lag. It allows to take into account the important aspect of aging of the incoming information.