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Thai-Ha Le, Youngho Chang, 2011. "OIL AND GOLD: CORRELATION OR CAUSATION?"
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| Abstract: |
| This study using the monthly data spanning 1986:01-2011:04 to investigate the relationship
between the prices of two strategic commodities: gold and oil. We examine this relationship
through the inflation channel and their interaction with the index of the US dollar. We used
different oil price proxies for our investigation and found that the impact of oil price on the
gold price is not asymmetric but non-linear. Further, results show that there is a long-run
relationship existing between the prices of oil and gold. The findings imply that the oil price
can be used to predict the gold price. |
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