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Oil and Gold Prices: Correlation or Causation?

Thai-Ha Le () and Youngho Chang ()

No 1102, Economic Growth Centre Working Paper Series from Nanyang Technological University, School of Social Sciences, Economic Growth Centre

Abstract: This paper uses the monthly data spanning from Jan-1986 to April-2011 to investigate the relationship between the prices of two strategic commodities: gold and oil. We examine this relationship through the inflation channel and their interaction with the index of the US dollar. We use different oil price proxies in our investigation and find that the impact of oil price on gold price is not asymmetric but non-linear. Our results show that there is a long-run relationship existing between the prices of oil and gold. Our findings imply that the oil price can be used to predict the gold price.

Keywords: oil price; gold price; inflation; US dollar index; cointegration (search for similar items in EconPapers)
JEL-codes: E3 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-cwa, nep-ene, nep-mac and nep-sea
Date: 2011-02
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