Short-term and long-term relationships between gold prices and oil prices

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F18%3A00011158" target="_blank" >RIV/47813059:19520/18:00011158 - isvavai.cz</a>

Result on the web

<a href="https://hdl.handle.net/10195/71502" target="_blank" >https://hdl.handle.net/10195/71502</a>

DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Short-term and long-term relationships between gold prices and oil prices

Original language description

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 long-term, 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. F or time series analysis (monthly average commodity prices, April 1983 - December 2016) there was used computer program GRETL.

Czech name

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Czech description

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Type

J_SC - Article in a specialist periodical, which is included in the SCOPUS database

CEP classification

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OECD FORD branch

10103 - Statistics and probability

Project

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Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2018

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Scientific papers of the University of Pardubice. Series D, Faculty of Economics and Administration

ISSN

1211-555X

e-ISSN

1804-8048

Volume of the periodical

43

Issue of the periodical within the volume

2

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

11

Pages from-to

221-231

UT code for WoS article

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EID of the result in the Scopus database

2-s2.0-85057805419