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A Cointegration and Causation Study of Gold Prices, Crude Oil Prices and Exchange Rates

Lodha, Shilpa - 2018

Using daily data for a period of nine years from May 2005 to June 2014, the present study examines the long-run and short-run interdependence between USD/INR exchange rates, gold prices and crude oil prices. The preliminary observation suggests that the three series are non stationary at level,...

Persistent link: https://www.econbiz.de/10012917301

A cointegration and causation study of gold prices, crude oil prices and exchange rates

Lodha, Shilpa - In: The IUP journal of financial risk management : IJFRM 14 (2017) 1, pp. 55-66

Persistent link: https://www.econbiz.de/10011724356

Testing for Granger causality in distribution tails : an application to oil markets integration

Candelon, Bertrand; Joëts, Marc; Tokpavi, Sessi - In: Economic modelling 31 (2013), pp. 276-285

Persistent link: https://www.econbiz.de/10009729103

Revisiting the role of economic uncertainty in oil price fluctuations : evidence from a new time-varying oil market model

Lyu, Yongjian; Yi, Heling; Wei, Yu; Yang, Mo - In: Economic modelling 103 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10013163925

The time-varying causality between spot and futures crude oil prices : a regime switching approach

Balcilar, Mehmet; Gungor, Hasan; Hammoudeh, Shawkat - In: International review of economics & finance : IREF 40 (2015), pp. 51-71

Persistent link: https://www.econbiz.de/10011571896

How do bond, equity and commodity cycles interact?

Narayan, Paresh Kumar; Thuraisamy, Kannan Sivananthan; … - In: Finance research letters 21 (2017), pp. 151-156

Persistent link: https://www.econbiz.de/10011807742

Comovement of fear index, stock returns, brent oil prices in BRIC countries : the case of COVID-19

Sharma, Sakshi; Malik, Kunjana - In: The Indian economic journal 70 (2022) 4, pp. 559-576

Persistent link: https://www.econbiz.de/10013475299

Nonlinear dynamic correlation between geopolitical risk and oil prices : a study based on high-frequency data

Huang, Jianbai; Ding, Qian; Zhang, Hongwei; Guo, Yaoqi; … - In: Research in international business and finance 56 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10013266166

Does solar activity affect the price of crude oil? : a causality and volatility analysis

Daglis, Theodoros; Yfanti, Stavroula; Xidonas, Panos; … - In: Finance research letters 55 (2023) 1, pp. 1-5

Persistent link: https://www.econbiz.de/10014472998

How macroeconomic factors drive the linkages between inflation and oil markets in global economies? : a multiscale analysis

Mensi, Walid; Ur Rehman, Mobeen; Hammoudeh, Shawkat; … - In: International economics : a journal published by CEPII … 173 (2023), pp. 212-232

Persistent link: https://www.econbiz.de/10014373763

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