Investigating Cointegration and the Causal Relationship Between of Exchange Rate, Oil Price and Gas Price in Regional Markets

Short-term and long-term relationship between exchange rate, oil price and spot gas price of three regional gas markets was investigated using and estimating the Vector Autoregressive model. There is a significant and long-term relationship between variables.Short-term interactions of variables with Granger causality test One-year interaction of variables with intervals of one to twelve months is studied and in order to solidify the results, the Wald test is repeated in estimating the Vector Autoregressive. The results show that the spot gas price is always influenced by the price of oil, and the US gas price is indifferent and immune to exchange rate fluctuations with a 12-month delay. But there is always a one-way connection from the US gas market to the Asian and European gas markets. The US regional market has always been affected by exchange rate fluctuations in other markets, but its oil and gas market has been protected by increased oil and gas production and the implementation of foreign exchange and banking policies. JEL Classification: E23, C22, C32, C53 Keywords: Spot price, Vector Autoregressive, Granger Causality, Regional Gas Markets.