Interactive relationships between crude oil prices, gold prices, and the NT–US dollar exchange rate—A Taiwan study

Hsiao-Fen Chang, Liang-Chou Huang and Ming-Chin Chin

Energy Policy, 2013, vol. 63, issue C, 441-448

Abstract: This investigation examines the correlations of oil prices, gold prices and the NT dollar versus U.S. dollar exchange rate during 2007/09/03–2011/12/28. Johansen co-integration test, VAR model, Granger causality test, impulse response analysis, and variance decomposition method were used to clarify the interactive relationships among the three variables. These tests and models show that the oil price, gold price and exchange rate remain considerably independent from one another, which implies policymakers should consider the separation of energy and financial policies.

Keywords: Johansen co-integration test; Vector auto-regression (VAR) model; Impulse response. (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (34)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:enepol:v:63:y:2013:i:c:p:441-448

DOI: 10.1016/j.enpol.2013.09.029

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