Abstract
In this paper we examine the long-run relationship between gold and oil spot and futures markets. We draw on the conceptual framework that when oil price rises, it creates inflationary pressures, which instigate investments in gold as a hedge against inflation. We test for the long-run relationship between gold and oil futures prices at different maturity and unravel evidence of cointegration. This implies that: (a) investors use the gold market as a hedge against inflation and (b) the oil market can be used to predict the gold market prices and vice versa, thus these two markets are jointly inefficient, at least for the sample period considered in this study.
Original language | English |
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Pages (from-to) | 3299-3303 |
Number of pages | 5 |
Journal | Applied Energy |
Volume | 87 |
Issue number | 10 |
DOIs | |
Publication status | Published - Oct 2010 |
Externally published | Yes |
Keywords
- Cointegration
- Gold
- Inflation
- Oil
- Spot and futures markets