英文标题：
《An empirical analysis of the relationships between crude oil, gold and
stock markets》
---
作者：
Semei Coronado, Rebeca Jim\\\'enez-Rodr\\\'iguez, Omar Rojas
---
最新提交年份：
2016
---
英文摘要：
This paper analyzes the direction of the causality between crude oil, gold and stock markets for the largest economy in the world with respect to such markets, the US. To do so, we apply non-linear Granger causality tests. We find a nonlinear causal relationship among the three markets considered, with the causality going in all directions, when the full sample and different subsamples are considered. However, we find a unidirectional nonlinear causal relationship between the crude oil and gold market (with the causality only going from oil price changes to gold price changes) when the subsample runs from the first date of any year between the mid-1990s and 2001 to last available data (February 5, 2015). The latter result may explain the lack of consensus existing in the literature about the direction of the causal link between the crude oil and gold markets.
---
中文摘要：
本文分析了世界上最大的经济体美国的原油、黄金和股票市场之间因果关系的方向。为此，我们采用非线性格兰杰因果检验。当考虑全样本和不同的子样本时，我们发现考虑的三个市场之间存在非线性因果关系，因果关系向各个方向发展。然而，当子样本从20世纪90年代中期到2001年的任何一年的第一天到最后一个可用数据（2015年2月5日）运行时，我们发现原油和黄金市场之间存在单向非线性因果关系（因果关系仅从石油价格变化到黄金价格变化）。后一个结果可能解释了文献中对原油和黄金市场之间因果关系的方向缺乏共识的原因。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
--

---
PDF下载：
-->