The Relationship between Gold and Brent Crude Oil Prices: An Unrestricted Vector Autoregression Approach

Authors

Abstract

There is an ongoing scientific debate on how gold and crude oil affect each other prices. It is of high importance as both of them are strategic assets. The aim of the study is to check whether prices of these two assets influence each other. If so, if this is a short-term or a long-term relation and what the causality between these assets prices is. Daily data from January 2005 to December 2020 are used. The author applies Johansen cointegration test, Granger causality test and VAR model, denies a long-term and confirms a short term relation between gold and crude oil prices. However, it goes only in one direction that is from gold to crude oil. Such an interaction has significant consequences for investors, traders, producers, authorities, policymakers.Keywords: VAR, gold, crude oil price, Granger causalityJEL Classifications: G15, C51, F37DOI: https://doi.org/10.32479/ijeep.11229

Downloads

Download data is not yet available.

Author Biography

Izabela Pruchnicka-Grabias, Warsaw School of Economics

Associate professorHead of the Institute of Banking

Downloads

Published

2021-06-08

How to Cite

Pruchnicka-Grabias, I. (2021). The Relationship between Gold and Brent Crude Oil Prices: An Unrestricted Vector Autoregression Approach. International Journal of Energy Economics and Policy, 11(4), 276–282. Retrieved from https://econjournals.com./index.php/ijeep/article/view/11229

Issue

Vol. 11 No. 4 (2021)

Section

Articles

License

Submission of an article implies that the work described has not been published previously , that it is not under consideration for publication elsewhere, that its publication is approved by all authors and tacitly or explicitly by the responsible authorities where the work was carried out, and that, if accepted, will not be published elsewhere in the same form, without the written consent of the Publisher. The Editors reserve the right to edit or otherwise alter all contributions, but authors will receive proofs for approval before publication.