Oil Price Shocks and Gold Returns

Thai-Ha Le and Youngho Chang ()

International Economics, 2012, issue 131, 71-104

Abstract: This study investigates the impact of oil price fluctuations on gold market returns using monthly data from May 1994 to April 2011. A structural vector autoregressive approach is employed to examine the dynamics between oil price shocks and gold returns. Various oil price proxies are used in the empirical examination to capture potential nonlinearities in the dynamics between oil price shocks and gold returns. Oil price shocks appear to have a statistically significant and positive impact on real gold returns contemporaneously. The impact is found to be symmetric but nonlinear. These findings imply that observing oil price fluctuations can help predict movements in gold price, which would significantly help monetary authorities and policymakers in monitoring the price of major commodities, as well as investors and managers in optimizing portfolios.

Keywords: Oil Price; Gold Price; Nonlinearity; Asymmetry; VAR (search for similar items in EconPapers)
JEL-codes: E3 F3 G1 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (43)

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Persistent link: https://EconPapers.repec.org/RePEc:cii:cepiie:2012-q3-131-4

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