The crude oil market and the gold market: Evidence for cointegration,causality and price discovery |
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| Authors: | Yue-Jun Zhang Yi-Ming Wei |
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| Affiliation: | 1. Center for Energy and Environmental Policy Research, Beijing Institute of Technology, Beijing, 100081, China;2. School of Management and Economics, Beijing Institute of Technology (BIT), 5 South Zhongguancun Street, Haidian District, Beijing 100081, China |
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| Abstract: | Given that the gold market and the crude oil market are the main representatives of the large commodity markets, it is of crucial practical significance to analyze their cointegration relationship and causality, and investigate their respective contribution, from the perspective of price discovery, to the common price trend so as to interpret the dynamics of the whole large commodity market and forecast the fluctuation of crude oil and gold prices. |
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| Keywords: | C01 C12 G12 |
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