On the Comovements Among Gold and Oil: A Multivariate Time-Varying Asymmetric Approach

Abstract

Previous studies have reported that there is a relationship among gold and oil prices. This research analyses how gold and oil prices variables interact focusing on different Global financial crisis (GFC) phases, we adopt a multivariate asymmetric dynamic conditional correlation GARCH framework, during the period spanning from January 1^st, 2000 until December 31^th, 2017. Our empirical results suggest correlations’ asymmetric responses among them. Moreover, the results indicate a correlations increase of gold and oil, during the crisis periods, suggesting different prices vulnerability.

JEL classification numbers: E3 D4

Keywords: DCC-FIAPARCH model, Global financial crisis, Volatility

DOI: 10.7176/JETP/9-7-01

Publication date:October 31^st 2019