The DOI matches its Crossref record; 3 of the 3 references it cites were found in a registry or an index.
Dynamics of oil price, precious metal prices, and exchange rate
Open accessAbstract
This study examines the co-movements and information transmission among the spot prices of four precious metals (gold, silver, platinum, and palladium), oil price, and the US dollar/euro exchange rate. We find evidence of a weak long-run equilibrium relationship but strong feedbacks in the short run. The spot precious metal markets respond significantly (but temporarily) to a shock in any of the prices of the other metal prices and the exchange rate. Furthermore, we discover some evidence of market overreactions in the palladium and platinum cases as well as in the exchange rate market. In conclusion, whether there are overreactions and re-adjustments or not, investors may diversify at least a portion of the risk away by investing in precious metals, oil, and the euro. Policy implications are provided.
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Cites
Co-integration and error correction: representation, estimation and testing
Engle, R. F., & Granger, C. W. J. (1987) · Econometrica · doi:10.2307/1913236 · Cited by 32,007
Bounds testing approaches to the analysis of level relationships
Pesaran, M. H., Shin, Y., & Smith, R. J. (2001) · Journal of Applied Econometrics · doi:10.1002/jae.616 · Cited by 20,385
Testing the null hypothesis of stationarity against the alternative of a unit root
Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., & Shin, Y. (1992) · Journal of Econometrics · doi:10.1016/0304-4076(92)90104-y · Cited by 12,633
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Maghyereh, A. I., Awartani, B., & Bouri, E. (2016) · Energy Economics · doi:10.1016/j.eneco.2016.04.010 · Cited by 419
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Self-citationForecasting gold price with the XGBoost algorithm and SHAP interaction values
Jabeur, S. B., Mefteh-Wali, S., & Viviani, J.-L. (2024) · Annals of Operations Research · doi:10.1007/s10479-021-04187-w · Cited by 328
Metadata
- Authors
- Sari, R., Hammoudeh, S., & Soytas, U.
- Venue
- Energy Economics
- Publisher
- Elsevier BV
- Published
- 2010-03
- Volume
- 32
- Issue
- 2
- Pages
- 351-362
- ISSN
- 0140-9883 (ISSN-L)
- OpenAlex
- W1991446663
- Cited by
- 504
- References
- 3
- FWCI
- 24.41
- Type
- journal article
- Language
- en
- Open access
- green
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