Are oil, gold and the euro inter-related? time series and neural network analysis

A.G. Malliaris and Mary Malliaris
Authors registered in the RePEc Author Service: Anastasios G. Malliaris

MPRA Paper from University Library of Munich, Germany

Abstract: This paper investigates inter-relationships among the price behavior of oil, gold and the euro using time series and neural network methodologies. Traditionally gold is a leading indicator of future inflation. Both the demand and supply of oil as a key global commodity are impacted by inflationary expectations and such expectations determine current spot prices. Inflation influences both short and long-term interest rates that in turn influence the value of the dollar measured in terms of the euro. Certain hypotheses are formulated in this paper and time series and neural network methodologies are employed to test these hypotheses. We find that the markets for oil, gold and the euro are efficient but have limited inter-relationships among themselves.

Keywords: Oil; Gold; the Euro; Relationships; Time-series Analysis; Neural Network Methodology (search for similar items in EconPapers)
JEL-codes: G14 G15 Q41 (search for similar items in EconPapers)
Date: 2011-11-28
New Economics Papers: this item is included in nep-cmp, nep-cwa and nep-ene
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Related works:
Journal Article: Are oil, gold and the euro inter-related? Time series and neural network analysis (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:35266

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