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

No 15-35, Working Papers from Eastern Mediterranean University, Department of Economics

Abstract: This study analyzes 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 bi-directional or unidirectional causality is found in several subsamples. The duration of the periods with causality links vary from a few months to three years, while the duration for the non-causality 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, while 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.

Keywords: Gold and oil prices; Time-varying Granger causality; Rolling estimation; Recursive rolling estimation. (search for similar items in EconPapers)
JEL-codes: C22 E31 Q02 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2018
New Economics Papers: this item is included in nep-ene and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed

Downloads: (external link)
http://repec.economics.emu.edu.tr/RePEc/emu/wpaper/15-35.pdf First version, 2017 (application/pdf)

Related works:
Journal Article: On the time‐varying links between oil and gold: New insights from the rolling and recursive rolling approaches (2019)
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:emu:wpaper:15-35.pdf

Access Statistics for this paper

More papers in Working Papers from Eastern Mediterranean University, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Mehmet Balcilar ().