MODELING NONLINEAR GRANGER CAUSALITY AND CO-INTEGRATION BETWEEN GOLD PRICE RETURNS AND CRUDE OIL PRICE RETURNS

Nawaz Ahmad, Syed Kashif Rafi and Muhammad Tariq ()
Additional contact information
Syed Kashif Rafi: Ph.D.Scholar, Ilma University
Muhammad Tariq: Lecturer at Institute of Business Management, Karachi, Pakistan,

IBT Journal of Business Studies (JBS), 2018, vol. 14, issue 2, 106-116

Abstract: To model the nonlinear analysis of commodities, Gold market and crude oil market have importance to test their lead and lag price mechanism between the two.For this purpose, the log transformation has been done to calculate easier multiplicative effects.However, to record the dynamic effects of long run cointegreation model applied and tested to find the significance of the problem statement issues.Furthermore, granger causality approach also uses to examine the fundamental linkages between Gold Prices and Crude Oil prices.Meanwhile, the study of Gold markets and oil markets gained popularity among development economists during in last some decades.And try to find out stochastic relationship between the two nonlinear markets.The academic practitioners paved their efforts to run casual time series models in order to find out the robust results which help the economists and financial experts to drive the industry indicator in positive way.This study confirmed that there is cointegration between the two important indicators of large market commodities i.e Gold and crude oil and also casual interactions.Pairwise Granger Causality Tests concluded that Gold Prices return has Granger Cause on Oil Prices return in the long run and if the βeta change in the prices of gold may effect on the prices of crude oil in the long run.

Keywords: Crude Oil Prices; Gold Oil Prices; Cointegration; Nonlinear modeling; log returns (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://ibtjbs.ilmauniversity.edu.pk/journal/jbs/14.2/9.pdf (application/pdf)

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:aib:ibtjbs:v:14:y:2018:i:2:p:106-116

DOI: 10.46745/ilma.ibtjbs.2018.142.9

Access Statistics for this article

More articles in IBT Journal of Business Studies (JBS) from Ilma University, Faculty of Management Science Contact information at EDIRC.
Bibliographic data for series maintained by Syed Kashif Rafi ().