Analysis of crude oil and gold price volatility and their correlation during socio-economic crises

IF 10.2 2区 经济学 0 ENVIRONMENTAL STUDIES Resources Policy Pub Date : 2024-09-23 DOI:10.1016/j.resourpol.2024.105311
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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.
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社会经济危机期间原油和黄金价格波动及其相关性分析
最近的 COVID-19 大流行促使研究人员研究不同危机期间黄金和石油价格之间的关联。在这方面,我们评估了四次危机:黄金市场崩溃、欧洲主权债务危机、全球金融危机和 COVID-19 大流行。本文采用非线性自回归分布滞后方法,利用 2006 年 7 月至 2022 年 9 月的每日数据,发现了五个新的见解。这项研究支持文献中的普遍观点,即石油和黄金价格之间存在正相关关系。我们还发现,在所有危机中,黄金和石油价格之间都不存在长期相关性。此外,石油与黄金价格的关系并不是在所有危机时期都起作用,而且在很大程度上失去了其以往的预测潜力。当布伦特或西得克萨斯中质油价格下跌时,黄金价格的短期变化是由这两种油价的变化引起的。总之,在 COVID-19 之前,布伦特和黄金价格之间没有任何相关性。投资者被黄金所吸引,是因为 COVID-19 带来了不确定性,而且与过去相比,现在黄金价格相对于石油价格的波动性较小。我们的主要结果对其他协整/协整模型规格、整合滞后期和标准误差的异方差性都是稳健的。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
Resources Policy
Resources Policy ENVIRONMENTAL STUDIES-
CiteScore
13.40
自引率
23.50%
发文量
602
审稿时长
69 days
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.
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