Short-term and long-term relationships between gold prices and oil prices
Článekpeer-reviewedpublishedDatum publikování
2018
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Univerzita Pardubice
Abstrakt
This article focuses on the econometric analysis of the prices of oil and gold.
The aim is to determine the degree and nature of the investigated commodity dependence
in terms of short-term and long-term relationships. The work contains basic
characteristics, determinants of price development and theoretical description of
statistical tools used to analyze dependencies of investigated time series. In the practical
part of the article there is given its own analysis and final interpretation of the
development of studied commodities. There are used methods of correlation and
regression analysis, Granger causality, Augmented Dickey-Fuller test of stationarity,
Johansen test. With respect to Engle-Granger test the two variables have a long run
equilibrium relationship. Moreover, the Granger causality test reveals that in longterm,
the change in prices of gold influences the change in prices of oil, while the chance
in prices of oil does not influence the future change in prices of gold. For time series
analysis (monthly average commodity prices, April 1983 – December 2016) there was
used computer program GRETL.
Rozsah stran
p. 221 - 231
ISSN
1804-8048 (Online)
1211-555X (Print)
1211-555X (Print)
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Zdrojový dokument
Scientific papers of the University of Pardubice. Series D, Faculty of Economics and Administration. 43/2018
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Klíčová slova
ADF test of stationarity, correlation analysis, granger causality, regression analysis, time series analysis, VECM model