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.

Publication DOI: https://doi.org/10.1002/ijfe.2119
Divisions: College of Business and Social Sciences > Aston Business School > Economics, Finance & Entrepreneurship
College of Business and Social Sciences > Aston Business School
Additional Information: © 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.
Publication ISSN: 1099-1158
Full Text Link:
Related URLs: https://onlinel ... /ijfe.2119?af=R (Publisher URL)
PURE Output Type: Article
Published Date: 2020-07-21
Published Online Date: 2020-07-21
Accepted Date: 2020-06-18
Authors: Shafiullah, Muhammad
Chaudhry, Sajid (ORCID Profile 0000-0001-8769-8920)
Shahbaz, Muhammad
Reboredo, Juan Carlos

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