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Oil and Gold Prices: Correlation or Causation?

Author

Listed:
  • Thai-Ha LE

    (Division of Economics, Nanyang Technological University, Singapore 639798, Singapore)

  • Youngho CHANG

    (Division of Economics, Nanyang Technological University, Singapore 639798, Singapore)

Abstract

This paper uses the monthly data spanning from Jan-1986 to April-2011 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 use different oil price proxies in our investigation and find that the impact of oil price on gold price is not asymmetric but non-linear. Our results show that there is a long-run relationship existing between the prices of oil and gold. Our 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 Prices: Correlation or Causation?," Economic Growth Centre Working Paper Series 1102, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
  • Handle: RePEc:nan:wpaper:1102
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    File URL: http://www3.ntu.edu.sg/hss2/egc/wp/2011/2011-02.pdf
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    Cited by:

    1. Turhan, M. Ibrahim & Sensoy, Ahmet & Ozturk, Kevser & Hacihasanoglu, Erk, 2014. "A view to the long-run dynamic relationship between crude oil and the major asset classes," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 286-299.
    2. repec:eee:jrpoli:v:53:y:2017:i:c:p:117-124 is not listed on IDEAS
    3. repec:eee:jrpoli:v:52:y:2017:i:c:p:257-265 is not listed on IDEAS
    4. 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.
    5. repec:eee:jrpoli:v:52:y:2017:i:c:p:358-365 is not listed on IDEAS
    6. Tiwari, Aviral Kumar & Sahadudheen, I., 2015. "Understanding the nexus between oil and gold," Resources Policy, Elsevier, vol. 46(P2), pages 85-91.

    More about this item

    Keywords

    oil price; gold price; inflation; US dollar index; cointegration;

    JEL classification:

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

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    1. 黃金投資 in Wikipedia Chinese ne '')

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