社会经济危机期间原油和黄金价格波动及其相关性分析

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
{"title":"社会经济危机期间原油和黄金价格波动及其相关性分析","authors":"","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":null,"pages":null},"PeriodicalIF":10.2000,"publicationDate":"2024-09-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Analysis of crude oil and gold price volatility and their correlation during socio-economic crises\",\"authors\":\"\",\"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\":null,\"pages\":null},\"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}","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

摘要

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。
查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
Analysis of crude oil and gold price volatility and their correlation during socio-economic crises
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.
求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
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.
期刊最新文献
Uncertainty and entrepreneurship in oil-rich developing countries: Does institution matter? Impact of natural resource rents on global trade dynamics in RCEP: Economic and geopolitical interdependencies Asymmetric relationship between crude oil price and remittance inflows in a small island economy: Evidence from non-linear ARDL approach Institutions as a determinant of FDI and the role of natural resources
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1