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The Relationship between Gold and Brent Crude Oil Prices: An Unrestricted Vector Autoregression Approach

Author

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  • Izabela Pruchnicka-Grabias

    (Warsaw School of Economics, Collegium of Socio-Economics, Institute of Banking, Poland.)

Abstract

There is an ongoing scientific debate on how gold and crude oil affect each other prices. It is of high importance as both of them are strategic assets. The aim of the study is to check whether prices of these two assets influence each other. If so, if this is a short-term or a long-term relation and what the causality between these assets prices is. Daily data from January 2005 to December 2020 are used. The author applies Johansen cointegration test, Granger causality test and VAR model, denies a long-term and confirms a short term relation between gold and crude oil prices. However, it goes only in one direction that is from gold to crude oil. Such an interaction has significant consequences for investors, traders, producers, authorities, policymakers.

Suggested Citation

  • Izabela Pruchnicka-Grabias, 2021. "The Relationship between Gold and Brent Crude Oil Prices: An Unrestricted Vector Autoregression Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 11(4), pages 276-282.
    • Handle: RePEc:eco:journ2:2021-04-34
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    References listed on IDEAS

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    More about this item

    Keywords

    VAR; gold; crude oil price; Granger causality;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications

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