On the time‐varying links between oil and gold : new insights from the rolling and recursive rolling approaches

dc.contributor.authorBalcilar, Mehmet
dc.contributor.authorOzdemir, Zeynel Abidin
dc.contributor.authorShahbaz, Muhammad
dc.date.accessioned2020-04-24T08:56:20Z
dc.date.issued2019-07
dc.description.abstractThis study analyses the dynamic linkages between oil and gold prices for the spot and 1‐ to 12‐month futures markets using monthly data over the period 1983–2016. To do this, we use the rolling and recursive rolling Granger causality approaches. The distinguishing feature of this study from the previous studies is that this is the first study investigating the causal links between oil and gold using time‐varying causality tests. The findings show that the causality links between oil and gold display strong time variation. Although causal links are not detected for most of the study period, strong bidirectional or unidirectional causality is found in several subsamples. The duration of the periods with causality links varies from a few months to 3 years, whereas the duration for the noncausality periods might be 15 years long. By date stamping the causality links between oil and gold, our paper discovers that causality from oil to gold is related to large oil price changes, whereas causality from gold to oil is related to large financial crises. The evidence obtained in the paper points out the dangers of assuming a constant causality link between oil and gold markets because these links might break down unexpectedly. Our findings point out to the dangers of assuming noncausality between oil and gold particularly in hedging oil price risk using gold.en_ZA
dc.description.departmentEconomicsen_ZA
dc.description.embargo2021-07-01
dc.description.librarianhj2020en_ZA
dc.description.urihttp://wileyonlinelibrary.com/journal/ijfeen_ZA
dc.identifier.citationBalcilar M, Ozdemir ZA, Shahbaz M. On the time‐varying links between oil and gold: New insights from the rolling and recursive rolling approaches. International Journal of Finance and Economics 2019;24:1047–1065. https://doi.org/10.1002/ijfe.1704.en_ZA
dc.identifier.issn1076-9307 (print)
dc.identifier.issn1099-1158 (online)
dc.identifier.other10.1002/ijfe.1704
dc.identifier.urihttp://hdl.handle.net/2263/74375
dc.language.isoenen_ZA
dc.publisherWileyen_ZA
dc.rights© 2018 John Wiley & Sons, Ltd. This is the pre-peer reviewed version of the following article : On the time‐varying links between oil and gold: New insights from the rolling and recursive rolling approaches. International Journal of Finance and Economics 2019;24:1047–1065. https://doi.org/10.1002/ijfe.1704. The definite version is available at : http://wileyonlinelibrary.com/journal/ijfe.en_ZA
dc.subjectGold priceen_ZA
dc.subjectOil priceen_ZA
dc.subjectRecursive rolling estimationen_ZA
dc.subjectRolling estimationen_ZA
dc.subjectTime‐varying Granger causalityen_ZA
dc.titleOn the time‐varying links between oil and gold : new insights from the rolling and recursive rolling approachesen_ZA
dc.typePostprint Articleen_ZA

Files

Original bundle

Now showing 1 - 1 of 1
Loading...
Thumbnail Image
Name:
Balcilar_On_2019.pdf
Size:
4.23 MB
Format:
Adobe Portable Document Format
Description:
Postprint Article

License bundle

Now showing 1 - 1 of 1
Loading...
Thumbnail Image
Name:
license.txt
Size:
1.75 KB
Format:
Item-specific license agreed upon to submission
Description: