1 / 19

The Athenian Policy Forum and the Indian Institute of Management Kozhikode Conference,

GOLD, OIL AND THE EURO: HYPOTHESES AND TIME SERIES ANALYSIS A. G. Malliaris and Mary E. Malliaris Loyola University Chicago. The Athenian Policy Forum and the Indian Institute of Management Kozhikode Conference, Calicut, India, December 18-20, 2008. Outline.

inga
Download Presentation

The Athenian Policy Forum and the Indian Institute of Management Kozhikode Conference,

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. GOLD, OIL AND THE EURO:HYPOTHESES AND TIME SERIES ANALYSISA. G. Malliaris and Mary E. MalliarisLoyola University Chicago The Athenian Policy Forum and the Indian Institute of Management Kozhikode Conference, Calicut, India, December 18-20, 2008.

  2. Outline • General Comments About Gold, Oil and the Euro • These Markets Prior to the Creation of the Euro • How are these Markets Related Since the Creation of the Euro

  3. Gold • As an Anchor of the Gold Standard • As a Hedge Against Inflation • As a Free Commodity Since mid-1971

  4. Long-Term Gold Price

  5. Oil • Significant Commodity in Global Economy • Its role today is somehow lesser than in early 70s but still important • Extremely volatile

  6. Long-Term Oil Price

  7. The Euro • Start with the European Common Market in 1957 • From a Customs Union to One Market • One Market with One Currency

  8. The Creation of the Euro

  9. Daily Data since 1999

  10. Do these 3 Markets follow Random Walks? The twin U.S. deficits weaken the dollar and strengthen the euro and induce oil producers to demand compensation. Increases in oil prices impact gold prices. Hypotheses

  11. Time Series Methods • Are the euro, oil and gold co-integrated? • Are there any short- and long-term relationships between the euro, oil and gold?

  12. Augmented Dickey-Fuller Tests of Stationarity • The model is:

  13. Price Level (LN(X))

  14. First Price Differences (LN(Xt) - LN(Xt-1))

  15. Engle and Granger Test of Cointegration of LN(Price)

  16. Error-Correction Model (ECM) for Testing for Long-Term and Short-Term Relationship • The model is:

  17. Results of Time Series Analysis • Random Walks Confirmed • Cointegration Confirmed • Oil Prices are Driven by Gold and the Euro

  18. From Time Series to Neural Network

  19. Conclusions • From Old Independent Relationships • To New Interrelated Relationships

More Related