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Oil And Gold: Correlation Or Causation?

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  • Thai-Ha Le

    (Division of Economics, Nanyang Technological University, Singapore)

  • Youngho Chang

    (Division of Economics, Nanyang Technological University, Singapore)

Abstract

This 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.

Suggested Citation

  • Thai-Ha Le & Youngho Chang, 2011. "Oil And Gold: Correlation Or Causation?," Working Papers 22, Development and Policies Research Center (DEPOCEN), Vietnam.
  • Handle: RePEc:dpc:wpaper:2211
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    Cited by:

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    2. 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.
    3. Joscha Beckmann & Robert Czudaj, 2013. "Oil and gold price dynamics in a multivariate cointegration framework," International Economics and Economic Policy, Springer, vol. 10(3), pages 453-468, September.
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    5. Tiwari, Aviral Kumar & Sahadudheen, I., 2015. "Understanding the nexus between oil and gold," Resources Policy, Elsevier, vol. 46(P2), pages 85-91.

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    More about this item

    Keywords

    oil price fluctuation; gold price; inflation; US dollar index; cointegration.;
    All these keywords.

    JEL classification:

    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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