Dynamics between strategic commodities and financial variables: Evidence from Japan

Thai-Ha Le and Youngho Chang ()

Resources Policy, 2016, vol. 50, issue C, 1-9

Abstract: This study applies the bounds testing approach to cointegration to the daily data from 01-December-1997 to 15-July-2016, in order to investigate the relationships between the prices of two strategic commodities (oil and gold) and the macro-financial variables (interest rate, exchange rate and stock price) in Japan, a major oil-consuming-and-importing as well as gold-holding-and-exporting country. The results suggest that oil prices seem to have limited information for the Japanese policy-makers in the long run. In the short run, however, oil and gold prices seem to have more useful information to presage fluctuations in the Japanese macro-financial variables including stock price and interest rate.

Keywords: Strategic commodities; Financial variables; Bounds test to cointegration; Japan (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:50:y:2016:i:c:p:1-9

DOI: 10.1016/j.resourpol.2016.08.006

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