Oil, Gold, US dollar and Stock market interdependencies: A global analytical insight

Arfaoui, Mongi and Ben Rejeb, Aymen (2016): Oil, Gold, US dollar and Stock market interdependencies: A global analytical insight.

Abstract

This paper takes a global perspective in examining relationships among oil, gold, US dollar and stock prices, using simultaneous equations system to identify direct and indirect linkages for the period spanning from January 1995 to October 2015. Results show significant interactions between the all parties. Indeed, we found negative relation between oil and stock prices but oil price is significantly and positively affected by stock markets, gold and USD. Oil price is also affected by oil future prices and by Chinese oil gross imports. Gold price is concerned by changes in oil, USD and stock market prices but slightly depend on US oil imports and corporate default premium. The US dollar is negatively affected by stock market and significantly by oil and gold prices and also by US consumer price index. Indirect effects always exist which confirm the presence of global interdependencies and involve the financialization process of commodity markets.

• Item Type: MPRA Paper
• Language: English
• Keywords: Oil price; gold price; trade weighted exchange rate; stock market; simultaneous equations
• Subjects: F - International Economics > F3 - International Finance; G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets; Q - Agricultural and Natural Resource Economics ; Environmental and Ecological Economics > Q0 - General > Q02 - Commodity Markets

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