{"title":"Analysis of crude oil and gold price volatility and their correlation during socio-economic crises","authors":"Jinhua Liang , Inam Ullah","doi":"10.1016/j.resourpol.2024.105311","DOIUrl":null,"url":null,"abstract":"<div><div>The recent COVID-19 pandemic has prompted researchers to examine the association between gold and oil prices during different crises. In this regard, four crises have been evaluated: the gold market crash, the European sovereign debt crisis, the global financial crisis, and the COVID-19 pandemic. This paper uses the nonlinear autoregressive distributed lag approach to discover five new insights utilizing daily data from July 2006 to September 2022. This research supports the prevailing view in the literature, which suggests a positive correlation between oil and gold prices. We also discover no long-term correlation exists between gold and oil prices throughout all crises. Moreover, the oil-gold price relationship does not work during all times of crises and has lost much of its former predictive potential. A short-term change in the price of gold is caused by a change in the price of Brent or West Texas Intermediate when both prices fall. To conclude, there was no correlation between Brent and gold prices before COVID-19. Investors have been drawn to gold because of the uncertainty caused by COVID-19 and that gold's price is now less volatile relative to oil prices than in the past. Our primary results are robust to alternative co-integration/integration model specifications, the integration lag, and the heteroskedasticity of the standard errors.</div></div>","PeriodicalId":20970,"journal":{"name":"Resources Policy","volume":"98 ","pages":"Article 105311"},"PeriodicalIF":10.2000,"publicationDate":"2024-09-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Resources Policy","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0301420724006780","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"0","JCRName":"ENVIRONMENTAL STUDIES","Score":null,"Total":0}
引用次数: 0
Abstract
The recent COVID-19 pandemic has prompted researchers to examine the association between gold and oil prices during different crises. In this regard, four crises have been evaluated: the gold market crash, the European sovereign debt crisis, the global financial crisis, and the COVID-19 pandemic. This paper uses the nonlinear autoregressive distributed lag approach to discover five new insights utilizing daily data from July 2006 to September 2022. This research supports the prevailing view in the literature, which suggests a positive correlation between oil and gold prices. We also discover no long-term correlation exists between gold and oil prices throughout all crises. Moreover, the oil-gold price relationship does not work during all times of crises and has lost much of its former predictive potential. A short-term change in the price of gold is caused by a change in the price of Brent or West Texas Intermediate when both prices fall. To conclude, there was no correlation between Brent and gold prices before COVID-19. Investors have been drawn to gold because of the uncertainty caused by COVID-19 and that gold's price is now less volatile relative to oil prices than in the past. Our primary results are robust to alternative co-integration/integration model specifications, the integration lag, and the heteroskedasticity of the standard errors.
期刊介绍:
Resources Policy is an international journal focused on the economics and policy aspects of mineral and fossil fuel extraction, production, and utilization. It targets individuals in academia, government, and industry. The journal seeks original research submissions analyzing public policy, economics, social science, geography, and finance in the fields of mining, non-fuel minerals, energy minerals, fossil fuels, and metals. Mineral economics topics covered include mineral market analysis, price analysis, project evaluation, mining and sustainable development, mineral resource rents, resource curse, mineral wealth and corruption, mineral taxation and regulation, strategic minerals and their supply, and the impact of mineral development on local communities and indigenous populations. The journal specifically excludes papers with agriculture, forestry, or fisheries as their primary focus.