Please use this identifier to cite or link to this item: https://scholarhub.balamand.edu.lb/handle/uob/2053
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dc.contributor.authorBassil, Charbelen_US
dc.contributor.authorHamadi, Hassanen_US
dc.contributor.authorMardini, Patricken_US
dc.date.accessioned2020-12-23T09:05:32Z-
dc.date.available2020-12-23T09:05:32Z-
dc.date.issued2019-
dc.identifier.urihttps://scholarhub.balamand.edu.lb/handle/uob/2053-
dc.description.abstractThis paper investigates the presence of a long-run relationship between the daily prices of oil and gold over the period 1986-2015. The presence of such a long-run relationship implies that the two markets are jointly inefficient; and that one price can be used as a predictor for the other price. We also test the presence of one or multiple structural breaks in the long-run relation. The presence of structural breaks suggests that the magnitude and the sign of the relationship between oil and gold prices may be different across different regimes. Our methodology is based on endogenous structural break tests and tests of cointegration with one or multiple breaks. Our results show that indeed this relation has changed over time and is subject to two or five regime changes. However, we do not find evidence for cointegration with or without breaks. The absence of a long-run equilibrium between oil and gold prices suggest that oil prices are biased predictor of gold prices. Hence, past information of oil prices is not relevant in forecasting gold prices.en_US
dc.language.isoengen_US
dc.subjectOil pricesen_US
dc.subjectGold pricesen_US
dc.subjectStructural breaksen_US
dc.subjectUnit rooten_US
dc.subject.lcshCointegrationen_US
dc.titleGold and oil prices: stable or unstable long-run relationshipen_US
dc.typeJournal Articleen_US
dc.contributor.affiliationDepartment of Economicsen_US
dc.description.volume43en_US
dc.description.startpage57en_US
dc.description.endpage72en_US
dc.date.catalogued2018-04-11-
dc.description.statusPublisheden_US
dc.identifier.ezproxyURLhttp://ezsecureaccess.balamand.edu.lb/login?url=https://link.springer.com/article/10.1007/s12197-018-9429-yen_US
dc.identifier.OlibID179431-
dc.relation.ispartoftextJournal of economics and financeen_US
dc.provenance.recordsourceOliben_US
crisitem.author.parentorgFaculty of Business and Management-
Appears in Collections:Department of Economics
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