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An empirical study on the nexus among the prices of commodities: an ARDL and bound test approach

Author

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  • V. Shanmugaraja
  • R. Murugesan
  • Ishita Khartad

Abstract

This study investigates the nexus among the commodities: bitcoin, copper, gold, silver, crude oil, and iron ore. Previous studies on establishing the plausibility and the dynamic nexus among commodities are rare. This research attempts to fill this gap. This study investigates whether there are long-term and short-term links between commodities for the period 2010-2022 by applying the bounds testing method to co-integration and ECM, built using an ARDL model and establishing both short-term and long-term relationships among the economic variables analysed. The ECM confirmed the presence of some co-integration relationship for all the variables, both in the short and long term. A strong correlation was discovered among the commodities, which were greatly influenced by their lagged values. The results of this study provides an opportunity for policymakers and researchers to understand the nature of the relationship between the analysed variables and further support the development of new policies for economic sustainability.

Suggested Citation

  • V. Shanmugaraja & R. Murugesan & Ishita Khartad, 2024. "An empirical study on the nexus among the prices of commodities: an ARDL and bound test approach," International Journal of Enterprise Network Management, Inderscience Enterprises Ltd, vol. 15(4), pages 377-397.
    • Handle: RePEc:ids:ijenma:v:15:y:2024:i:4:p:377-397
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