Energy Price Fluctuations and Their Effect on the Euro Based on VAR and VECM Models

Shengrui Pang

doi:10.47297/wspceWSP2516-251910.20250902

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Energy Price Fluctuations and Their Effect on the Euro Based on VAR and VECM Models

9卷第2期

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Energy Price Fluctuations and Their Effect on the Euro Based on VAR and VECM Models
Energy Price Fluctuations and Their Effect on the Euro Based on VAR and VECM Models
Zhejiang University of Finance and Economics Dongfang College, Zhejiang, 314408
2025年9卷第2期页码：62-68
纸质出版日期：2025-04-28
DOI：10.47297/wspceWSP2516-251910.20250902
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(2025). Energy Price Fluctuations and Their Effect on the Euro Based on VAR and VECM Models. 创意经济（英文版）, 9(2), 62-68.

Pang Shengrui.Energy Price Fluctuations and Their Effect on the Euro Based on VAR and VECM Models[J].Creative Economy,2025,09(02):62-68.
(2025). Energy Price Fluctuations and Their Effect on the Euro Based on VAR and VECM Models. 创意经济（英文版）, 9(2), 62-68. DOI： 10.47297/wspceWSP2516-251910.20250902.

Pang Shengrui.Energy Price Fluctuations and Their Effect on the Euro Based on VAR and VECM Models[J].Creative Economy,2025,09(02):62-68. DOI： 10.47297/wspceWSP2516-251910.20250902.

摘要

Abstract

Global fluctuations in energy prices

particularly those related to oil and gas

significantly influence the Euro exchange rate. While much of the existing literature emphasizes the impact of oil price changes on various currencies

fewer studies focus on the Euro. This paper uses the VAR and VECM models

along with the Johansen cointegration test and impulse response analysis (IRF)

to explore both immediate and sustained effects of shifts in energy prices on the Euro. The results show that price changes

particularly in natural gas

have a strong immediate effect on the Euro

although their influence weakens over time

despite the presence of a long-term cointegration relationship. This study provides important insights for policymakers in the Eurozone and offers empirical evidence to support adjustments in exchange rate policies in response to energy price volatility.

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references

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