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Dynamics between strategic commodities and financial variables: Evidence from Japan

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  • Le, Thai-Ha
  • Chang, Youngho

Abstract

This study applies the bounds testing approach to cointegration to the daily data from 01-December-1997 to 15-July-2016, in order to investigate the relationships between the prices of two strategic commodities (oil and gold) and the macro-financial variables (interest rate, exchange rate and stock price) in Japan, a major oil-consuming-and-importing as well as gold-holding-and-exporting country. The results suggest that oil prices seem to have limited information for the Japanese policy-makers in the long run. In the short run, however, oil and gold prices seem to have more useful information to presage fluctuations in the Japanese macro-financial variables including stock price and interest rate.

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  • Le, Thai-Ha & Chang, Youngho, 2016. "Dynamics between strategic commodities and financial variables: Evidence from Japan," Resources Policy, Elsevier, vol. 50(C), pages 1-9.
    • Handle: RePEc:eee:jrpoli:v:50:y:2016:i:c:p:1-9
    DOI: 10.1016/j.resourpol.2016.08.006
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