Abstract
This paper analyzed the non-linear ARDL approach and the non-linear Granger co-integration method. The gold price level showed positive asymmetric response to changes in the oil price in the short and long run. This study used the non-linear ARDL method to analyze the relationship between oil prices and gold, silver, and copper prices. To examine these relationships, we used a two-step procedure. In the first step, we analyzed the long-run relationship between the variables by using the non-linear ARDL approach. In the second step, we used a dynamic VEC model to test causal relationships.
Keywords
Cointegration
Causality (physics)
Copper
Economics
Econometrics
Granger causality
Linear relationship
Mathematics
Metallurgy
Statistics
Materials science
Physics
Subject Areas
Market Dynamics and Volatility
·Economics and Econometrics ·Social Sciences
Energy, Environment, Economic Growth
·Economics and Econometrics ·Social Sciences
Grey System Theory Applications
·Management Science and Operations Research ·Social Sciences
Citations by Year
2015: 1
2016: 1
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