Quantile causality and dependence between crude oil and precious metal prices


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Authors
Shafiullah, Muhammad  ORCID logo  https://orcid.org/0000-0003-3325-080X
Shahbaz, Muhammad 
Reboredo, Juan C 
Abstract

jats:titleAbstract</jats:title>jats:pThis paper examines long‐run dependence and causality between oil and precious metal (gold, silver, platinum, palladium, steel, and titanium) prices across quantiles by exploiting their time series properties with the help of novel econometric techniques. The empirical results for the period 1990–2019 indicate that oil and metal prices are nonstationary across different quantiles and that cointegration patterns differ widely across quantiles. Causality running from oil to metal prices is quantile‐dependent and differs according to the metal, whereas upward and downward movements in metal prices have no causal effect on oil prices. These results have implications for investors and policymakers in terms of portfolio and risk management decisions.</jats:p>

Description
Keywords
3502 Banking, Finance and Investment, 35 Commerce, Management, Tourism and Services
Journal Title
International Journal of Finance &amp; Economics
Conference Name
Journal ISSN
1076-9307
1099-1158
Volume Title
26
Publisher
Wiley