Dynamics of oil price, precious metal prices, and exchange rate

被引：353

作者：

Sari, Ramazan ^{[1
]}

Hammoudeh, Shawkat ^{[2
]}

Soytas, Ugur ^{[1
]}

机构：

[1] Middle E Tech Univ, Dep Bus Admin, TR-06531 Ankara, Turkey

[2] Drexel Univ, LeBow Coll Business, Philadelphia, PA 19104 USA

来源：

ENERGY ECONOMICS | 2010年 / 32卷 / 02期

关键词：

Precious metal prices; Oil prices; ARDL; Generalized variance decompositions; Generalized impulse responses; IMPULSE-RESPONSE ANALYSIS; EXCESS CO-MOVEMENT; COMMODITY PRICES; UNIT-ROOT; MONETARY-POLICY; TIME-SERIES; COINTEGRATION; HYPOTHESIS;

D O I：

10.1016/j.eneco.2009.08.010

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This study examines the co-movements and information transmission among the spot prices of four precious metals (gold. silver, platinum, and palladium), oil price, and the US dollar/euro exchange rate. We find evidence of a weak long-run equilibrium relationship but strong feedbacks in the short run. The spot precious metal markets respond significantly (but temporarily) to a shock in any of the prices of the other metal prices and the exchange rate. Furthermore, we discover some evidence of market overreactions in the palladium and platinum cases as well as in the exchange rate market. In conclusion, whether there are overreactions and re-adjustments or not, investors may diversify at least a portion of the risk away by investing in precious metals, oil, and the euro. Policy implications are provided. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：351 / 362

页数：12

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