Article | Open Access | Published: 10 December 2018
Modeling Nonlinear Granger Causality and Co-Integration Between Gold Price Returns and Crude Oil Price Returns
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Abstract:
To model the nonlinear analysis of commodities, 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 long run cointegreation model applied and tested to find the significance of the problem statement issues. Furthermore, 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 stochastic relationship between the two nonlinear markets. The academic practitioners paved their efforts to run casual time series models in order to find out the robust results which help the economists and financial experts to drive the industry indicator in positive way. 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 ?eta change in the prices of gold may effect on the prices of crude oil in the long run.
Keywords:
Crude Oil Prices, Gold Oil Prices, Cointegration, Nonlinear modeling, log returns
Publisher:
ILMA UNIVERSITY
Published:
10 December 2018
Issue:
Issue 2 : Volume 14
E-ISSN:
2409-6520
P-ISSN:
2414-8393
This is an open access article distributed under the terms of the Creative Commons Attribution CC BY 4.0 license, which permits any use, distribution, and reproduction of the work without further permission provided the original author(s) and source are credited.