evidence of cointegration. This implies that: (a) investors use the gold market as a hedge against inflation and (b) the oil …In this paper we examine the long-run relationship between gold and oil spot and futures markets. We draw on the … conceptual framework that when oil price rises, it creates inflationary pressures, which instigate investments in gold as a hedge …

Based on recent evidence of fractional cointegration in commodity spot and futures markets, we investigate whether a …