Revisiting the Dynamic Correlation between Gold and Oil Returns in the Aftermath of 2008 Global Financial Crisis

DOI

10.2991/ssmi-19.2019.76How to use a DOI?

Keywords

Oil price; Gold price; Non-parametric structural change; DCC; GFC.

Abstract

Dynamic relationship between gold and oil market has attracted increasing amounts of scholarly interest. In this paper, we propose a novel nonlinear analysis framework including VAR-BDS, ARIMAX-BDS, non-parametric structural change detection model, DCC-GARCH model to clearly reveal the time-varying correlation between the crude oil price and the gold price after the 2008 GFC. Firstly, the results of VAR-BDS and ARIMAX-BDS show that the interactions between these two markets are suggested to be nonlinear in contrast to previous work. Secondly, by employing non-parametric structural change detection model, we find that the linkage between oil and gold market after the 2008 GFC experience nine different regimes and turn to be nonlinear and asymmetry. Finally, DCC- GARCH model is adopted to examine the different interactions in the case of different regimes depending specific threshold variables. In the end of our paper, some significant implications are summarized, and the link between oil and gold market has go through a nonlinear, dynamic and asymmetric evolution process, also our conclusions present a comprehensive and timely reference information for different market participants confronting with similar global risks.

Copyright

© 2019, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Jiping Chu
PY  - 2019/12
DA  - 2019/12
TI  - Revisiting the Dynamic Correlation between Gold and Oil Returns in the Aftermath of 2008 Global Financial Crisis
BT  - Proceedings of the 2nd International Symposium on Social Science and Management Innovation (SSMI 2019)
PB  - Atlantis Press
SP  - 306
EP  - 309
SN  - 2352-5398
UR  - https://doi.org/10.2991/ssmi-19.2019.76
DO  - 10.2991/ssmi-19.2019.76
ID  - Chu2019/12
ER  -