Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2017.1305778
Short-term and long-term relationships between gold prices and precious metal (palladium, silver and platinum) and energy (crude oil and gasoline) prices
Mehmet Eryiğit
orcid.org/0000-0002-6270-966X
Sažetak
Throughout history, investors have attempted to determine the
future states and prices of instruments that they consider to invest
in. Thus, various econometric models have been developed in order
to determine the variables influencing the prices of investment
instruments, as well as the relationships between such variables.
The main aim of the present study was to examine the variables
that may be related to gold prices. These variables were divided into
two groups: precious metals and energy. According to the results
of unit root (or stationary) tests and cointegration tests, a vector
autoregression model (VAR) was constructed to reveal the short-term
interaction between gold prices and precious metals, and a vector
error correction model (VECM) was employed to reveal relationship
between gold prices and energy prices. The results of the VAR analysis
indicated that gold prices have a short-term correlation with silver
prices; platinum prices have a short-term correlation with gold and
silver prices; and there is a short-term correlation between silver prices
and palladium prices. According to the results of the VECM analysis,
gasoline and crude oil prices have no long-term correlations with gold
prices, but gold and crude oil prices have a long-term correlation with
gasoline prices.
Ključne riječi
Gold prices; precious metal prices; energy prices; VECM; vector autoregressive
Hrčak ID:
180849
URI
Datum izdavanja:
1.12.2017.
Posjeta: 2.055 *