Roling-window bounds testing approach to analyze the relationship between oil prices and metal prices
Yükleniyor...
Dosyalar
Tarih
2023
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Elsevier
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
This paper is to find how the existence of a long-run relationship between oil prices and metals prices evolved for the time from January 1979 to December 2017. The rolling-window autoregressive lag mod- eling (RARDL) testing approach of cointegration has been introduced and applied to assess the long-run relationship considering four rolling windows of 5, 10, 15, and 20 years. The empirical evidence concludes that for a small rolling window of 5 years, there is no evidence of the long-run relationship between oil prices and metals prices, i.e. gold, platinum, and silver. However, there is a long-run relationship between oil prices and steel prices from December 2003 to December 2014. At larger rolling windows of 10, 15 and 20 years, oil prices and gold prices are not cointegrated; however, steel, silver, and platinum have a long-run relationship with oil prices in different periods.
Açıklama
Anahtar Kelimeler
Oil Prices, Metal Prices, Cointegration
Kaynak
The Quarterly Review of Economics and Finance
WoS Q Değeri
Q2
Scopus Q Değeri
Q1
Cilt
Sayı
Künye
Shahbaz, M., Khan, A. I. ve Mubarak, M. S. (2022). Roling-window bounds testing approach to analyze the relationship between oil prices and metal prices. The Quarterly Review of Economics and Finance, xx, xx. https://doi.org/10.1016/j.qref.2022.01.015
