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

@article{32039,
   author = {Krkošková, Radmila},
   article_number = {2},
   keywords = {ADF test of stationarity; Correlation analysis; Granger causality; Regression analysis; Time series analysis; VECM model},
   language = {eng},
   issn = {1211-555X},
   journal = {Scientific Papers of the University of Pardubice Series D},
   title = {Short-term and long-term relationships between gold prices and oil prices},
   volume = {43},
   year = {2018}
}

TY  - JOUR
ID  - 32039
AU  - Krkošková, Radmila
PY  - 2018
TI  - Short-term and long-term relationships between gold prices and oil prices
JF  - Scientific Papers of the University of Pardubice Series D
VL  - 43
IS  - 2
SP  - 221-231
EP  - 221-231
SN  - 1211555X
KW  - ADF test of stationarity
KW  - Correlation analysis
KW  - Granger causality
KW  - Regression analysis
KW  - Time series analysis
KW  - VECM model
N2  - 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. For time series analysis (monthly average commodity prices, April 1983 - December 2016) there was used computer program GRETL.
ER  - 

KRKOŠKOVÁ, Radmila. Short-term and long-term relationships between gold prices and oil prices. \textit{Scientific Papers of the University of Pardubice Series D}. 2018, roč.~43, č.~2, s.~221-231. ISSN~1211-555X.