Oil and gold: correlation or causation?
AbstractThis study using the monthly data spanning 1986:01-2011:04 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 used different oil price proxies for our investigation and found that the impact of oil price on the gold price is not asymmetric but non-linear. Further, results show that there is a long-run relationship existing between the prices of oil and gold. The findings imply that the oil price can be used to predict the gold price.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 31795.
Date of creation: 23 Jun 2011
Date of revision:
oil price fluctuation; gold price; inflation; US dollar index; cointegration.;
Other versions of this item:
- E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-07-02 (All new papers)
- NEP-ENE-2011-07-02 (Energy Economics)
- NEP-MAC-2011-07-02 (Macroeconomics)
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