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Understanding the nexus between oil and gold

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  • Tiwari, Aviral Kumar
  • Sahadudheen, I.

Abstract

This paper tries to explore the relationship between real oil price and real gold price over a period of 1990 April to 2013 August. In order to check for the impact of real oil price on the real gold, return on real oil and return on real gold are used. The study employed types of GARCH models which suggested that an increase in real oil price has positive effects on gold. The EGARCH model provides the evidence that a 10% increase in the oil price returns leads to 4.7% increase of gold and shocks to gold price have an asymmetric effect, which means positive and negative shocks have different effect on gold price in terms of magnitude.

Suggested Citation

  • Tiwari, Aviral Kumar & Sahadudheen, I., 2015. "Understanding the nexus between oil and gold," Resources Policy, Elsevier, vol. 46(P2), pages 85-91.
  • Handle: RePEc:eee:jrpoli:v:46:y:2015:i:p2:p:85-91
    DOI: 10.1016/j.resourpol.2015.09.003
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    References listed on IDEAS

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    Cited by:

    1. repec:taf:applec:v:50:y:2018:i:17:p:1891-1909 is not listed on IDEAS
    2. Mehmet Balcilar & Zeynel Abidin Ozdemir & Muhammad Shahbaz & Serkan Gunes, 2017. "Does Inflation Cause Gold Prices? Evidence from G7 Countries," Working Papers 15-31, Eastern Mediterranean University, Department of Economics.
    3. repec:eee:jrpoli:v:52:y:2017:i:c:p:257-265 is not listed on IDEAS
    4. Raza, Naveed & Jawad Hussain Shahzad, Syed & Tiwari, Aviral Kumar & Shahbaz, Muhammad, 2016. "Asymmetric impact of gold, oil prices and their volatilities on stock prices of emerging markets," Resources Policy, Elsevier, vol. 49(C), pages 290-301.
    5. Jain, Anshul & Biswal, P.C., 2016. "Dynamic linkages among oil price, gold price, exchange rate, and stock market in India," Resources Policy, Elsevier, vol. 49(C), pages 179-185.
    6. repec:ebl:ecbull:eb-17-00288 is not listed on IDEAS
    7. Mehmet Balcilar & Zeynel Abidin Ozdemir & Muhammad Shahbaz, 2018. "On the time-varying links between oil and gold: New insights from the rolling and recursive rolling approaches," Working Papers 15-35, Eastern Mediterranean University, Department of Economics.
    8. repec:rau:journl:v:12:y:2017:i:1:p:59-67 is not listed on IDEAS
    9. Shahbaz, Muhammad & Balcilar, Mehmet & Abidin Ozdemir, Zeynel, 2017. "Does oil predict gold? A nonparametric causality-in-quantiles approach," Resources Policy, Elsevier, vol. 52(C), pages 257-265.
    10. Mehmet Balcilar & Zeynel Abidin Ozdemir & Muhammad Shahbaz & Serkan Gunes, 2018. "Does inflation cause gold market price changes? evidence on the G7 countries from the tests of nonparametric quantile causality in mean and variance," Applied Economics, Taylor & Francis Journals, vol. 50(17), pages 1891-1909, April.
    11. Kumar, Satish, 2017. "On the nonlinear relation between crude oil and gold," Resources Policy, Elsevier, vol. 51(C), pages 219-224.
    12. repec:eee:jrpoli:v:52:y:2017:i:c:p:358-365 is not listed on IDEAS
    13. repec:eee:jrpoli:v:55:y:2018:i:c:p:49-54 is not listed on IDEAS
    14. repec:eee:jrpoli:v:54:y:2017:i:c:p:81-87 is not listed on IDEAS

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    Keywords

    Gold; Oil; Asymmetry; GARCH; Unit root;

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