Quantile causality and dependence between crude oil and precious metal prices

被引：36

作者：

Shafiullah, Muhammad ^{[1
]}

Chaudhry, Sajid M. ^{[2
]}

Shahbaz, Muhammad ^{[3
,4
]}

Reboredo, Juan C. ^{[5
]}

机构：

[1] Univ Nottingham Malaysia, Sch Econ, Semenyih, Malaysia

[2] Aston Univ, Econ Finance & Entrepreneurship Grp, Aston Business Sch, Birmingham, W Midlands, England

[3] Beijing Inst Technol, Ctr Energy & Environm Policy Res, Beijing, Peoples R China

[4] Univ Cambridge, Dept Land Econ, Cambridge, England

[5] Univ Santiago de Compostela, Fac Econ Sci & Business, Santiago De Compostela, Spain

来源：

INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS | 2021年 / 26卷 / 04期

关键词：

crude oil; metal commodities; quantile regression; NONLINEAR CAUSALITY; EXCHANGE-RATE; STOCK-MARKET; CO-MOVEMENT; TIME-SERIES; SAFE HAVEN; UNIT-ROOT; GOLD; COINTEGRATION; DYNAMICS;

D O I：

10.1002/ijfe.2119

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper examines long-run dependence and causality between oil and precious metal (gold, silver, platinum, palladium, steel, and titanium) prices across quantiles by exploiting their time series properties with the help of novel econometric techniques. The empirical results for the period 1990-2019 indicate that oil and metal prices are nonstationary across different quantiles and that cointegration patterns differ widely across quantiles. Causality running from oil to metal prices is quantile-dependent and differs according to the metal, whereas upward and downward movements in metal prices have no causal effect on oil prices. These results have implications for investors and policymakers in terms of portfolio and risk management decisions.

引用

页码：6264 / 6280

页数：17

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