Quantile Causality and Dependence between Crude Oil and Precious Metal Prices

Muhammad Shafiullah; Sajid Chaudhry; Muhammad Shahbaz; Juan Carlos  Reboredo

doi:10.1002/ijfe.2119

Quantile Causality and Dependence between Crude Oil and Precious Metal Prices

Muhammad Shafiullah, Sajid Chaudhry^*, Muhammad Shahbaz, Juan Carlos Reboredo

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

Abstract

This 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.

Original language	English
Pages (from-to)	6264-6280
Number of pages	17
Journal	International Journal of Finance and Economics
Volume	26
Issue number	4
Early online date	21 Jul 2020
DOIs	https://doi.org/10.1002/ijfe.2119
Publication status	Published - Oct 2021

Bibliographical note

© 2020 The Authors. This is an open access article under the terms of the Creative Commons Attribution License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited.

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10.1002/ijfe.2119

Quantile causality and dependence between crude oil and precious metal prices
© 2020 The Authors. This is an open access article under the terms of the Creative Commons Attribution License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited.
Final published version, 1.72 MBLicence: CC BY 3.0

Cite this

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title = "Quantile Causality and Dependence between Crude Oil and Precious Metal Prices",

abstract = "This 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.",

author = "Muhammad Shafiullah and Sajid Chaudhry and Muhammad Shahbaz and Reboredo, {Juan Carlos}",

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AU - Shahbaz, Muhammad

AU - Reboredo, Juan Carlos

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N2 - This 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.

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JO - International Journal of Finance and Economics

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Quantile Causality and Dependence between Crude Oil and Precious Metal Prices

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