Investigating Granger Causality Between the crude oil price and the gold price With emphasis on non-linear Markov-switching approach

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barghi oskouei mohammad mehdi; shahbazzade khiavi atabak

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Journal: ENERGY ECONOMICS REVIEW Year:2014 | Volume:10 | Issue:40 Page(s): 39-64

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Title

Investigating Granger Causality Between the crude oil price and the gold price With emphasis on non-linear Markov-switching approach

Author(s)

barghi oskouei mohammad mehdi | shahbazzade khiavi atabak | Issue Writer Certificate

Keywords

Oil PriceQ2

Gold priceQ3

Markov switching causalityQ1

Abstract

Major influence the crude Oil Price and the Gold price on the world economy and its importance in economic growth and development, This study is to investigate the granger causality relationship between the crude Oil Price and the Gold price by using monthly data over the period of 2000: 1-2012: 8. Time series analysis techniques have been used which include unit root test, BDS, Tsay and RESET test, Nonlinear Markov switching causality test. The finding indicate that the optimized of model to study MSIAH (3)-VAR(3) was selected. The results indicate that the model with consider to three different regimes, Unidirectional causality running from the crude Oil Price to the Gold price in first regimes, While there exists bidirectional causality between the crude Oil Price and the Gold price in second regimes, and there is not exists causality between the crude Oil Price and the Gold price in third regimes. The empirical findings of this paper, The beneficial implications for investors and Policy makers needs to recognize the exact effects of relationship between the crude Oil Price and the Gold price are provided.

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APA: Copy

barghi oskouei, mohammad mehdi, & shahbazzade khiavi, atabak. (2014). Investigating Granger Causality Between the crude oil price and the gold price With emphasis on non-linear Markov-switching approach. ENERGY ECONOMICS REVIEW, 10(40 ), 39-64. SID. https://sid.ir/paper/99588/en

Vancouver: Copy

barghi oskouei mohammad mehdi, shahbazzade khiavi atabak. Investigating Granger Causality Between the crude oil price and the gold price With emphasis on non-linear Markov-switching approach. ENERGY ECONOMICS REVIEW[Internet]. 2014;10(40 ):39-64. Available from: https://sid.ir/paper/99588/en

IEEE: Copy

mohammad mehdi barghi oskouei, and atabak shahbazzade khiavi, “Investigating Granger Causality Between the crude oil price and the gold price With emphasis on non-linear Markov-switching approach,” ENERGY ECONOMICS REVIEW, vol. 10, no. 40 , pp. 39–64, 2014, [Online]. Available: https://sid.ir/paper/99588/en

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