The Asymmetric Long-Run Relationship between Crude Oil and Gold Futures

Global Journal of Business Research, Vol. 6, No. 1, pp. 9-15, 2012

7 Pages Posted: 6 Jan 2012

See all articles by Yen-Hsien Lee

Yen-Hsien Lee

Chung Yuan Christian University

Ya-Ling Huang

Chaoyang University of Technology

Hao-Jang Yang

Taishin International Bank

Date Written: 2012

Abstract

This study employs the momentum threshold error-correction model with generalized autoregressive conditional heteroskedasticity to investigate asymmetric cointegration and causal relationships between West Texas Intermediate Crude Oil and gold prices in the futures market. The paper examines data from May 1, 1994 to November 20, 2008. The empirical results show that an asymmetric long-run adjustment exists between gold and oil. Furthermore, the causality relationship shows that West Texas Intermediate Crude Oil plays a dominant role. The findings should prove valuable to individual investors and financial institutions who can use the findings here to gold prices based on oil prices.

Keywords: Momentum Threshold Error Correction Model, Asymmetric Causality Relationship

JEL Classification: C32, G15, Q39, Q49

Suggested Citation

Lee, Yen-Hsien and Huang, Ya-Ling and Yang, Hao-Jang, The Asymmetric Long-Run Relationship between Crude Oil and Gold Futures (2012). Global Journal of Business Research, Vol. 6, No. 1, pp. 9-15, 2012, Available at SSRN: https://ssrn.com/abstract=1945967

Yen-Hsien Lee (Contact Author)

Chung Yuan Christian University ( email )

22 Pu-Jen, Pu-chung Li
Chung-Li, 32023
Taiwan

Ya-Ling Huang

Chaoyang University of Technology ( email )

No. 168, Jifong E. Rd., Wufong Township
Taichung County, Taiwan 41349
Taiwan

Hao-Jang Yang

Taishin International Bank ( email )

Taipei
Taiwan

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