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 journalArticle

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 languageEnglish
JournalInternational Journal of Finance and Economics
Early online date21 Jul 2020
DOIs
Publication statusE-pub ahead of print - 21 Jul 2020

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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