Volume 14 Issue 2 2018


Nawaz Ahmad
Assistant Professor at Institute of Business Management, Karachi, Pakistan.

Syed Kashif Rafi
Ph.D. Scholar, Ilma University.

Muhammad Tariq
Lecturer at Institute of Business Management, Karachi, Pakistan.

Abstract To model the nonlinear analysis of commodities, the Gold market and crude oil market have importance to test their lead and lag price mechanism between the two. For this purpose, the log transformation has been done to calculate easier multiplicative effects. However, to record the dynamic effects of the long-run cointegration model applied and tested to find the significance of the problem statement issues. Furthermore, the granger causality approach also uses to examine the fundamental linkages between Gold Prices and Crude Oil prices. Meanwhile, the study of Gold markets and oil markets gained popularity among development economists during in last some decades. And try to find out the stochastic relationship between the two nonlinear markets. The academic practitioners paved their efforts to run casual time series models to find out the robust results which help the economists and financial experts to drive the industry indicator positively. This study confirmed that there is cointegration between the two important indicators of large market commodities i.e Gold and crude oil and also casual interactions. Pairwise Granger Causality Tests concluded that Gold Prices return has Granger Cause on Oil Prices return in the long run and if the βeta change in the prices of gold may affect the prices of crude oil in the long run.
Keywords Crude Oil Prices, Gold Oil Prices, Cointegration, Nonlinear modeling, log returns
Year 2018
Volume 14
Issue 2
Type Short Report
Recognized by Higher Education Commission of Pakistan, HEC
Category "Y"
Journal Name IBT Journal of Business Studies
Publisher Name ILMA University
Jel Classification Q3, C5
ISSN no (E, Electronic) 2409-6520
ISSN no (P, Print) 2416-8393
Country Pakistan
City Karachi
Institution Type University
Journal Type Open Access
Type of Review Double Blind Peer Reviewed
Format PDF
Paper Link
Page 105-116
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