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Casual or Causal Relationships between the U.S. Dollar, Gold, Oil and Equity Markets

25 Pages Posted: 16 Sep 2011  

Ron Christner

Loyola University New Orleans - Joseph A. Butt, S.J. College of Business

Mehmet F. Dicle

Loyola University New Orleans - Joseph A. Butt, S.J. College of Business

Date Written: September 15, 2011

Abstract

This paper examines the degree of correlation and possible causation between the prices of gold, oil, short- and long-term interest rates, U.S. equities and the U.S. currency value against the Euro and British Pound. The data set utilizes daily returns for the period between the beginning of 1999 and August, 2011 and yearly sub-intervals within that period. The rationale for the research derives from some widely held observations based on correlations, and related opinions, regarding relationships between the 4 variables perceived to be relatively consistent, but different than longer term data results, in the recent financial crisis period encompassing 2007 through 2009. The study takes a more historical perspective and draws conclusions regarding how strong, or weak these relationships might be and whether they seem to be temporary, and possibly an aberration, or a trend that is likely to continue. Articles based on recent observations, over the past four years, in the financial press suggest an inverse relationship between stock prices and the U.S. dollar; oil and the U.S. dollar, and gold prices and the U.S. dollar. We are analyzing the relationship, long and short term between these variables for potential use in prediction models and also, as possible portfolio diversification tools.

Keywords: US Dollar, EURO, British Pound, gold, crude oil, Treasury yield

JEL Classification: F31, G15

Suggested Citation

Christner, Ron and Dicle, Mehmet F., Casual or Causal Relationships between the U.S. Dollar, Gold, Oil and Equity Markets (September 15, 2011). Available at SSRN: https://ssrn.com/abstract=1927961 or http://dx.doi.org/10.2139/ssrn.1927961

Ron Christner

Loyola University New Orleans - Joseph A. Butt, S.J. College of Business ( email )

6363 St. Charles Avenue
New Orleans, LA 70118
United States

Mehmet Dicle (Contact Author)

Loyola University New Orleans - Joseph A. Butt, S.J. College of Business ( email )

6363 St. Charles Avenue
New Orleans, LA 70118
United States

HOME PAGE: http://researchforprofit.com

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