Co-movements of Oil, Gold, the U.S. Dollar, and Stocks
Open Access
- 1 January 2012
- journal article
- Published by Scientific Research Publishing, Inc. in Modern Economy
- Vol. 03 (01), 111-117
- https://doi.org/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
This publication has 4 references indexed in Scilit:
- Spillover effect of US dollar exchange rate on oil pricesJournal of Policy Modeling, 2008
- China and the relationship between the oil price and the dollarEnergy Policy, 2007
- Oil prices and the rise and fall of the US real exchange rateJournal of International Money and Finance, 1998
- Dollar depreciation and the price of gasolineThe International Trade Journal, 1998