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Oil And Gold: Correlation Or Causation?

  • Thai-Ha Le

    ()

    (Division of Economics, Nanyang Technological University, Singapore)

  • Youngho Chang

    (Division of Economics, Nanyang Technological University, Singapore)

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.

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Paper provided by Development and Policies Research Center (DEPOCEN), Vietnam in its series Working Papers with number 22.

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Length: 36 pages
Date of creation: 2011
Date of revision:
Handle: RePEc:dpc:wpaper:2211
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  17. Hilde C. Bjørnland, 2008. "Oil Price Shocks and Stock Market Booms in an Oil Exporting Country," Working Paper 2008/16, Norges Bank.
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