Gold Price, Crude Oil, Exchange Rate and Stock Markets: Cointegration and Neural Network Analysis

In the globalized world of 21st century, the world order has become dynamic. But the parameters of success are same. A country having only internal success cannot sustain for long and similarly for external success. External success is largely dependent upon exchange rate movements and its management by central banks especially for emerging economies. Internal success is reflected in the stock markets of the nations. In this paper long-term association between external and internal parameters, have been explored. For external parameters, not only exchange rate but crude oil prices and gold prices have also been taken. For internal success, stock markets have been taken as a parameter. Johansen's Cointegration test, error-correction model and neural network have been deployed to find out the association among internal and external parameters of success for nations. The results have demonstrated the long-term association among the parameters but degree of association has been found to be weak.