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

Kód výsledku v 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>

Výsledek na webu

<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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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_SC - Článek v periodiku v databázi SCOPUS

CEP obor

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OECD FORD obor

10103 - Statistics and probability

Projekt

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Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2018

Kód důvěrnosti údajů

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

Název periodika

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

ISSN

1211-555X

e-ISSN

1804-8048

Svazek periodika

43

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

11

Strana od-do

221-231

Kód UT WoS článku

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EID výsledku v databázi Scopus

2-s2.0-85057805419