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Are oil, gold and the euro inter-related? time series and neural network analysis

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  • Malliaris, A.G.
  • Malliaris, Mary

Abstract

This paper investigates inter-relationships among the price behavior of oil, gold and the euro using time series and neural network methodologies. Traditionally gold is a leading indicator of future inflation. Both the demand and supply of oil as a key global commodity are impacted by inflationary expectations and such expectations determine current spot prices. Inflation influences both short and long-term interest rates that in turn influence the value of the dollar measured in terms of the euro. Certain hypotheses are formulated in this paper and time series and neural network methodologies are employed to test these hypotheses. We find that the markets for oil, gold and the euro are efficient but have limited inter-relationships among themselves.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 35266.

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Date of creation: 28 Nov 2011
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Handle: RePEc:pra:mprapa:35266

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Keywords: Oil; Gold; the Euro; Relationships; Time-series Analysis; Neural Network Methodology;

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Citations

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Cited by:
  1. George Filis & Ioannis Chatziantoniou, 2014. "Financial and monetary policy responses to oil price shocks: evidence from oil-importing and oil-exporting countries," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 42(4), pages 709-729, May.
  2. Nikolaos Antonakakis & Ioannis Chatziantoniou & George Filis, 2014. "Dynamic Spillovers of Oil Price Shocks and Policy Uncertainty," Department of Economics Working Papers, Vienna University of Economics, Department of Economics wuwp166, Vienna University of Economics, Department of Economics.
  3. Reboredo, Juan C., 2013. "Is gold a safe haven or a hedge for the US dollar? Implications for risk management," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(8), pages 2665-2676.

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