Co-movements of Oil, Gold, the U.S. Dollar, and Stocks

Subarna K. Samanta, Ali H. M. Zadeh

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DOI: 10.4236/me.2012.31015                

Abstract

This paper examines the comovements of several macro-variables in the world economy over a period of more than twenty years. Long-term co movements are examined by tracking the cointegration, common trend factor and the spiller index over these variables (gold price, stock price, real exchange rate for dollar and the oil price of crude oil). Preminary examination suggests the possibility of cointegration among these variables indicating comovements, although the spillover indices are found to be very small.

Keywords

Stationarity; VARMA; Common Trends; Co integration; Granger Causality; Volatility; Spillover Index

Conflicts of Interest

The authors declare no conflicts of interest.

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