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The crude oil market and the gold market: Evidence for cointegration, causality and price discovery by Zhang, Yue Jun (author);Wei, Yi Ming (author) is a Economics, Econometrics and Finance article available to read on EtoBox.

What is The crude oil market and the gold market: Evidence for cointegration, causality and price discovery about?

Given that the gold market and the crude oil market are the main representatives of the large commodity markets, it is of crucial practical significance to analyze their cointegration relationship and causality, and investigate their respective contribution, from the perspective of price discovery, to the common price trend so as to interpret the dynamics of the whole large commodity market and forecast the fluctuation of crude oil and gold prices. Empirical analysis indicates that, first, there are consistent trends between the crude oil price and the gold price with significant positive correlation coefficient 0.9295 during the sampling period, from January of 2000 to March of 2008. Second, there can be seen a long-term equilibrium between the two markets, and the crude oil price change linearly Granger causes the volatility of gold price, but not vice versa; moreover, the two market prices do not face a significant nonlinear Granger causality, which overall suggests their fairly direct interactive mechanism. Finally, with regard to the common effective price between the two markets, the contribution of the crude oil price seems larger than that of the gold price, whether with th

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Author

Zhang, Yue Jun (author);Wei, Yi Ming (author)

Publisher

Elsevier Science; Elsevier ; Elsevier Ltd.; Elsevier BV (ISSN 0301-4207)

Published

2010

Language

EN

Field

Economics, Econometrics and Finance (Social Sciences)