Le, Thai-Ha and Chang, Youngho (2011): Oil and gold: correlation or causation?
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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.
|Item Type:||MPRA Paper|
|Original Title:||Oil and gold: correlation or causation?|
|Keywords:||oil price fluctuation, gold price, inflation, US dollar index, cointegration.|
|Subjects:||E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles|
|Depositing User:||Thai-Ha Le|
|Date Deposited:||23. Jun 2011 12:11|
|Last Modified:||12. Feb 2013 06:57|
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