Dynamic relationships between oil and metal commodity futures prices

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dc.contributor.authorSarı, Ramazan
dc.contributor.authorHammoudeh S.
dc.contributor.authorEwing B.T.
dc.date.accessioned2021-06-23T18:54:09Z
dc.date.available2021-06-23T18:54:09Z
dc.date.issued2007
dc.departmentBAİBÜ, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümüen_US
dc.description.abstractApplying econometric techniques to time series data for the four different commodity prices (oil, gold, silver and copper) and two financial variables (interest rates and exchange rates), this original paper by Ramazan Sari, Shawkat Hammoudeh and Bradley Ewing analyzes and compares the extent of the impacts of shocks in commodities among themselves and with those of the financial variables. The authors find evidence that holds in the short and long horizons on the transmission of price change shocks, between gold and silver while the highly cyclical copper appears to be nearly independent of movements in the prices of other commodities. As well, gold and silver, but not copper, are found to explain some of the forecast error variance of changes in oil futures prices. The link between the oil price and the prices of the precious metals could be due to the fact that oil price is valued in dollars and there is a flight-to-safety relationship between those precious metals, particularly gold, and the exchange rate. Their results also indicate that the exchange rate can explain movements in the variance of oil and the metal commodities. Furthermore, there is some relationship, though not large, between the interest rate and the exchange rate.en_US
dc.identifier.endpage13en_US
dc.identifier.issn0273-1371
dc.identifier.issue7en_US
dc.identifier.scopus2-s2.0-34547812507en_US
dc.identifier.scopusqualityQ4en_US
dc.identifier.startpage2en_US
dc.identifier.urihttps://hdl.handle.net/20.500.12491/4267
dc.identifier.urihttps://www.scopus.com/inward/record.uri?eid=2-s2.0-34547812507&partnerID=40&md5=877bc20a3e0ce6243da6c5b4fac4b1ca
dc.identifier.volume29en_US
dc.indekslendigikaynakScopusen_US
dc.institutionauthorSarı, Ramazan
dc.language.isoenen_US
dc.relation.ispartofGeopolitics of Energyen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectFinancial Variablesen_US
dc.subjectMetal Commodity
dc.titleDynamic relationships between oil and metal commodity futures pricesen_US
dc.typeArticleen_US

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