OIL AND GOLD: CORRELATION OR CAUSATION?

Thai-Ha LE () and Youngho Chang ()

No 22, Working Papers from Development and Policies Research Center (DEPOCEN), Vietnam

Abstract: 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.

Keywords: oil price fluctuation; gold price; inflation; US dollar index; cointegration. (search for similar items in EconPapers)
JEL-codes: E3 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cwa, nep-ene, nep-mac and nep-sea
Date: 2011
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Related works:
Journal Article: Oil and gold: correlation or causation? (2011)
Working Paper: Oil and gold: correlation or causation? (2011)
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Persistent link: http://EconPapers.repec.org/RePEc:dpc:wpaper:2211

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