Gold and Oil: Is There any Long-Term Relationship?
Result description
This article focuses on the relationship between oil and gold prices in period 1970 - 2010. The aim of this article is to analyze and determine the character of the co-movement between their price levels. This article also presents the basic characteristic and determinants of current price trends. To describe basic links there is also included a quantitative analysis of the variables. To prove causality between gold and oil the Granger causality test is used. Johansen cointegration test and Vector ErrorCorrection model is used to test long-term relationship and its' short-term deviations. This paper reveals the existence of a long term relationship between analyzed variables.
Keywords
oilgoldGranger causalitycointegrationVector Error Correction Model
The result's identifiers
Result code in IS VaVaI
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Gold and Oil: Is There any Long-Term Relationship?
Original language description
This article focuses on the relationship between oil and gold prices in period 1970 - 2010. The aim of this article is to analyze and determine the character of the co-movement between their price levels. This article also presents the basic characteristic and determinants of current price trends. To describe basic links there is also included a quantitative analysis of the variables. To prove causality between gold and oil the Granger causality test is used. Johansen cointegration test and Vector ErrorCorrection model is used to test long-term relationship and its' short-term deviations. This paper reveals the existence of a long term relationship between analyzed variables.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
PROCEEDINGS OF THE 13TH INTERNATIONAL CONFERENCE ON FINANCE AND BANKING
ISBN
978-80-7248-753-0
ISSN
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e-ISSN
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Number of pages
13
Pages from-to
424-436
Publisher name
Slezská univerzita v Opavě, Obchodně podnikatelská fakulta v Karviné
Place of publication
Karviná
Event location
Ostrava
Event date
Jan 1, 2011
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000309369700043
Basic information
Result type
D - Article in proceedings
CEP
AH - Economics
Year of implementation
2012