Effects of the 2008 Financial Crisis on the Linkages among the Oil, Gold, and Platinum Markets

Cogent Economics & Finance, 2020

14 Pages Posted: 13 Oct 2020

See all articles by Kentaka Aruga

Kentaka Aruga

Saitama University, Graduate School of Humanities and Social Sciences; Graduate School of Humanities and Social Sciences

Sudha Kannan

affiliation not provided to SSRN

Date Written: August 20, 2020

Abstract

To find out if gold remains to be unlinked with the crude oil market after the 2008 financial crisis, we investigated how long-run price linkages and price causalities among crude oil and gold markets changed before and after the crisis. To have a good reference, we also tested the same issue for the oil-platinum relationship. Using the cointegration methods, we found little evidence that gold began to have a price linkage with the crude oil market after the 2008 financial crisis. Conversely, we identified a long-run relationship between the crude oil and platinum markets after the crisis. Hence, we found that compared to the platinum market, the gold market remained unlinked with the oil market after the 2008 financial crisis indicating that it continued to be independent of the crude oil market.

Keywords: 2008 financial crisis; crude oil; gold; platinum; cointegration; Granger causality

JEL Classification: C31, G14, Q31, Q41

Suggested Citation

Aruga, Kentaka and Aruga, Kentaka and Kannan, Sudha, Effects of the 2008 Financial Crisis on the Linkages among the Oil, Gold, and Platinum Markets (August 20, 2020). Cogent Economics & Finance, 2020, Available at SSRN: https://ssrn.com/abstract=3678982

Kentaka Aruga (Contact Author)

Saitama University, Graduate School of Humanities and Social Sciences ( email )

255 Shimo-Okubo, Sakura-ku, Saitama-shi
Saitama, 338-8570
Japan

Graduate School of Humanities and Social Sciences ( email )

255 Shimo-Okubo, Sakura-ku, Saitama-shi
Saitama
Japan

Sudha Kannan

affiliation not provided to SSRN

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