Long Run Relationships between Base Metals, Gold and Oil
(2010) NEKM07 20101Department of Economics
- Abstract
- This paper investigates the possible presence of long-run relationships (cointegration) among base metals and between base metals, Crude oil and Gold, using the Johansen multivariate approach and VEC Engle-Granger causality tests. The commodities used are seven base metals: Aluminum, Aluminum Alloy, Copper, Nickel, Zink, and Tin (from the London Metal Exchange), Crude oil and Gold. The Johansen approach results indicate that Aluminum, Copper, Gold and Nickel share long-run relationships with each other. VEC Granger Causality test at 10% significance level shows that all nine variables are cointegrated with at least one of the remaining variables in the group which indicate the diversification possibilities are limited. As for the price... (More)
- This paper investigates the possible presence of long-run relationships (cointegration) among base metals and between base metals, Crude oil and Gold, using the Johansen multivariate approach and VEC Engle-Granger causality tests. The commodities used are seven base metals: Aluminum, Aluminum Alloy, Copper, Nickel, Zink, and Tin (from the London Metal Exchange), Crude oil and Gold. The Johansen approach results indicate that Aluminum, Copper, Gold and Nickel share long-run relationships with each other. VEC Granger Causality test at 10% significance level shows that all nine variables are cointegrated with at least one of the remaining variables in the group which indicate the diversification possibilities are limited. As for the price discovery, price development of Aluminum and especially Copper should be given more attention, since they Granger-cause several of the other variables. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/1624477
- author
- Duan, Wenjia LU and Yusupov, Garib
- supervisor
- organization
- course
- NEKM07 20101
- year
- 2010
- type
- H2 - Master's Degree (Two Years)
- subject
- keywords
- Commodities, Weak Exogeneity, VEC Granger Causality, Johansen Cointegration Test
- language
- English
- id
- 1624477
- date added to LUP
- 2010-06-29 11:56:28
- date last changed
- 2010-06-29 11:56:28
@misc{1624477, abstract = {{This paper investigates the possible presence of long-run relationships (cointegration) among base metals and between base metals, Crude oil and Gold, using the Johansen multivariate approach and VEC Engle-Granger causality tests. The commodities used are seven base metals: Aluminum, Aluminum Alloy, Copper, Nickel, Zink, and Tin (from the London Metal Exchange), Crude oil and Gold. The Johansen approach results indicate that Aluminum, Copper, Gold and Nickel share long-run relationships with each other. VEC Granger Causality test at 10% significance level shows that all nine variables are cointegrated with at least one of the remaining variables in the group which indicate the diversification possibilities are limited. As for the price discovery, price development of Aluminum and especially Copper should be given more attention, since they Granger-cause several of the other variables.}}, author = {{Duan, Wenjia and Yusupov, Garib}}, language = {{eng}}, note = {{Student Paper}}, title = {{Long Run Relationships between Base Metals, Gold and Oil}}, year = {{2010}}, }