This paper examines the intricate impact of commodity futures settlement prices on USD exchange rates. The daily data on changes in logs of futures prices and changes in logs of US dollar in euro and USD trade weighted exchange rate are tested with Bayesian VAR, multiple breakpoint regression and two-state Markov switching. Commodities include West Texas Intermediate and Brent crude oil, as well as copper and gold. The tests imply prevalence of an inverse relationship between changes in commodity futures prices and USD exchange rates, but their interactions become positive at stressful market conditions. Strengths, statistical significance and causal interactions between commodity futures prices and USD exchange rate depend on the type of commodities and market risk conditions. The relationship between WTI and USD exchange rates has been strengthening over time. Interactions between changes in gold prices and the exchange rate are very unstable.

中文翻译：

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大宗商品期货价格与美元汇率之间的摇摆不定相互作用

本文研究了商品期货结算价格对美元汇率的复杂影响。使用贝叶斯VAR，多重断点回归和二态马尔可夫切换测试了有关期货价格对数变化以及美元对欧元和美元贸易加权汇率的对数变化的每日数据。商品包括西德克萨斯中质油和布伦特原油，以及铜和黄金。这些测试表明大宗商品期货价格和美元汇率之间存在反比关系，但是在压力大的市场条件下，它们的相互作用变得积极。商品期货价格与美元汇率之间的优势，统计意义和因果关系取决于商品的类型和市场风险条件。随着时间的推移，WTI与美元汇率之间的关系一直在加强。黄金价格变化和汇率之间的相互作用非常不稳定。