Malliaris, A.G. and Malliaris, Mary (2011): Are oil, gold and the euro inter-related? time series and neural network analysis. Forthcoming in: Review of Quantitative Finance and Accounting (2011)
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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.
|Item Type:||MPRA Paper|
|Original Title:||Are oil, gold and the euro inter-related? time series and neural network analysis|
|Keywords:||Oil, Gold, the Euro, Relationships, Time-series Analysis, Neural Network Methodology|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency; Event Studies
Q - Agricultural and Natural Resource Economics; Environmental and Ecological Economics > Q4 - Energy > Q41 - Demand and Supply
G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets
|Depositing User:||A. G. Malliaris|
|Date Deposited:||08. Dec 2011 20:04|
|Last Modified:||12. Feb 2013 12:33|
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