On the time‐varying links between oil and gold: New insights from the rolling and recursive rolling approaches

Mehmet Balcilar, Zeynel Ozdemir () and Muhammad Shahbaz

International Journal of Finance & Economics, 2019, vol. 24, issue 3, 1047-1065

Abstract: This study analyses the dynamic linkages between oil and gold prices for the spot and 1‐ to 12‐month futures markets using monthly data over the period 1983–2016. To do this, we use the rolling and recursive rolling Granger causality approaches. The distinguishing feature of this study from the previous studies is that this is the first study investigating the causal links between oil and gold using time‐varying causality tests. The findings show that the causality links between oil and gold display strong time variation. Although causal links are not detected for most of the study period, strong bidirectional or unidirectional causality is found in several subsamples. The duration of the periods with causality links varies from a few months to 3 years, whereas the duration for the noncausality periods might be 15 years long. By date stamping the causality links between oil and gold, our paper discovers that causality from oil to gold is related to large oil price changes, whereas causality from gold to oil is related to large financial crises. The evidence obtained in the paper points out the dangers of assuming a constant causality link between oil and gold markets because these links might break down unexpectedly. Our findings point out to the dangers of assuming noncausality between oil and gold particularly in hedging oil price risk using gold.

Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (18)

Downloads: (external link)
https://doi.org/10.1002/ijfe.1704

Related works:
Working Paper: On the time-varying links between oil and gold: New insights from the rolling and recursive rolling approaches (2018)
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:wly:ijfiec:v:24:y:2019:i:3:p:1047-1065

Ordering information: This journal article can be ordered from
http://jws-edcv.wile ... PRINT_ISSN=1076-9307

Access Statistics for this article

International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley

More articles in International Journal of Finance & Economics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().