Dynamic interdependence between gold and oil markets: Evidence from multivariate time-series analysis (2007–2026)

Dragana Acamovic

Littera Scripta, 2026, vol. 19, issue 1, 70-84

Abstract: Commodity markets play a central role in global financial systems, with gold and crude oil representing strategic assets characterized by distinct economic functions and responses to market uncertainty. This study examines the dynamic interdependence between gold and oil markets using daily observations from 2007 to 2026. Gold is represented by SPDR Gold Shares, while West Texas Intermediate (WTI) and Brent crude oil are considered as major oil benchmarks. Daily logarithmic returns are analyzed using descriptive statistics, correlation analysis, Augmented Dickey–Fuller tests, Vector Autoregression (VAR), Impulse Response Functions (IRFs), and Forecast Error Variance Decomposition (FEVD). The findings reveal heterogeneous and asymmetric relationships across the commodity markets. While significant short-run transmission effects emerge between gold and WTI returns, cross-market shocks generally dissipate rapidly, indicating limited persistence. Gold remains comparatively insulated from energy-market disturbances, whereas WTI exhibits greater responsiveness to gold-market shocks. Overall, the evidence suggests that gold–oil interdependence is predominantly short-term and asymmetric rather than persistent. These findings contribute to understanding commodity-market transmission mechanisms and provide implications for portfolio diversification, risk management, and investment decision-making.

Keywords: Gold; Crude Oil; Commodity Markets; Market Interdependence; Vector Autoregression (VAR) (search for similar items in EconPapers)
JEL-codes: G11 G15 Q40 (search for similar items in EconPapers)
Date: 2026
References: Add references at CitEc
Citations:

Downloads: (external link)
https://littera-scripta.com/articles/dynamic-inter ... ltivariate--8016713b (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rsg:littra:2026-005

DOI: 10.36708/LS.2026.I01.005

Access Statistics for this article

More articles in Littera Scripta from VSTE
Bibliographic data for series maintained by Robin Kunju Mol Raj ().