Gold and oil prices interrelation and reaction to crisis.

Abstract

This project examines the interrelationships between highly internationally traded commodities and their reaction to crisis. Given that the gold market and the oil market are the main representatives of the large commodity markets, it is of practical significance to analyze their co integration relationship and causality. It is also interesting to examine how these commodities are affected by crisis. The relationship of these commodities with crisis can be studied by comparing their prices to relevant equity index and exchange rate. These relationships are explored using weekly time series from April 1983 to March 2012.