Asymmetric Information Flow between Exchange Rate, Oil, and Gold: New Evidence from Transfer Entropy Approach

Moinak Maiti and Parthajit Kayal
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Parthajit Kayal: Madras School of Economics (MSE), Gandhi Mandapam Road, Kottur, Chennai 600025, India

JRFM, 2022, vol. 16, issue 1, 1-14

Abstract: The present study used transfer entropy and effective transfer entropy to examine the asymmetric information flow between exchange rates, oil, and gold. The dataset is composed of daily data covering the period of 1 January 2018 to 31 December 2021. Further, the dataset is bifurcated for analysis for before and during COVID. The bidirectional information flow is observed between EUR/USD and Oil for the whole study period unlike before COVID. However, during COVID, there was a unidirectional information flow from Oil→EUR/USD. The study finds a significant unidirectional information flow from Gold→EUR/USD. The study estimates also indicate that before COVID, the direction of information flow was from Oil→Gold. However, the direction of information flow reversed during COVID from Gold→Oil. Overall, the direction of information flow among these three variables is asymmetric. The highest transfer entropy was observed for Gold→EUR/USD among all the pairs under consideration.

Keywords: Shannon; Renyi; transfer entropy; COVID; Gold; Crude Oil; EUR/USD; Asymmetry (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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