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Oil and Gold Prices: Correlation or Causation?

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Author Info

  • Thai-Ha LE

    (Division of Economics, Nanyang Technological University, Singapore 639798, Singapore)

  • Youngho CHANG

    (Division of Economics, Nanyang Technological University, Singapore 639798, Singapore)

Abstract

This paper uses the monthly data spanning from Jan-1986 to April-2011 to investigate the relationship between the prices of two strategic commodities: gold and oil. We examine this relationship through the inflation channel and their interaction with the index of the US dollar. We use different oil price proxies in our investigation and find that the impact of oil price on gold price is not asymmetric but non-linear. Our results show that there is a long-run relationship existing between the prices of oil and gold. Our findings imply that the oil price can be used to predict the gold price.

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File URL: http://www3.ntu.edu.sg/hss2/egc/wp/2011/2011-02.pdf
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Bibliographic Info

Paper provided by Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre in its series Economic Growth centre Working Paper Series with number 1102.

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Length: 33 pages
Date of creation: Feb 2011
Date of revision:
Handle: RePEc:nan:wpaper:1102

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Related research

Keywords: oil price; gold price; inflation; US dollar index; cointegration;

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