Quantile causality and dependence between crude oil and precious metal prices

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 1990–20...

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Detalhes bibliográficos
Autores: Shafiullah, Muhammad, Chaudhry, Sajid M., Shahbaz, Muhammad, Reboredo Nogueira, Juan Carlos
Formato: artículo
Fecha de publicación:2021
País:España
Recursos:Universidad de Santiago de Compostela (USC)
Repositorio:Minerva. Repositorio Institucional de la Universidad de Santiago de Compostela
Idioma:inglés
OAI Identifier:oai:minerva.usc.gal:10347/40608
Acesso em linha:https://hdl.handle.net/10347/40608
Access Level:acceso abierto
Palavra-chave:Crude oil
Metal commodities
Quantile regression
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spelling Quantile causality and dependence between crude oil and precious metal pricesShafiullah, MuhammadChaudhry, Sajid M.Shahbaz, MuhammadReboredo Nogueira, Juan CarlosCrude oilMetal commoditiesQuantile regressionThis 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.Canadian Center of Science and Education (CCSE)Universidade de Santiago de Compostela. Departamento de Economía Aplicada20212021-01-0120212021-01-01journal articlehttp://purl.org/coar/resource_type/c_6501VoRhttp://purl.org/coar/version/c_970fb48d4fbd8a85info:eu-repo/semantics/articleapplication/pdfhttps://hdl.handle.net/10347/40608reponame:Minerva. Repositorio Institucional de la Universidad de Santiago de Compostelainstname:Universidad de Santiago de Compostela (USC)InglésengAgencia Estatal de Investigación http://dx.doi.org/10.13039/501100011033 Plan Estatal de Investigación Científica y Técnica y de Innovación 2017-2020 RTI2018-100702-B-I00 RIESGOS CLIMATICOS, ESTABILIDAD FINANCIERA Y DECISIONES DE INVERSION EN LOS MERCADOS FINANCIEROSopen accesshttp://purl.org/coar/access_right/c_abf2This 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. © 2020 The Authors. International Journal of Finance & Economics published by John Wiley & Sons Ltdhttp://creativecommons.org/licenses/by/4.0/info:eu-repo/semantics/openAccessoai:minerva.usc.gal:10347/406082026-06-15T12:47:27Z
dc.title.none.fl_str_mv Quantile causality and dependence between crude oil and precious metal prices
title Quantile causality and dependence between crude oil and precious metal prices
spellingShingle Quantile causality and dependence between crude oil and precious metal prices
Shafiullah, Muhammad
Crude oil
Metal commodities
Quantile regression
title_short Quantile causality and dependence between crude oil and precious metal prices
title_full Quantile causality and dependence between crude oil and precious metal prices
title_fullStr Quantile causality and dependence between crude oil and precious metal prices
title_full_unstemmed Quantile causality and dependence between crude oil and precious metal prices
title_sort Quantile causality and dependence between crude oil and precious metal prices
dc.creator.none.fl_str_mv Shafiullah, Muhammad
Chaudhry, Sajid M.
Shahbaz, Muhammad
Reboredo Nogueira, Juan Carlos
author Shafiullah, Muhammad
author_facet Shafiullah, Muhammad
Chaudhry, Sajid M.
Shahbaz, Muhammad
Reboredo Nogueira, Juan Carlos
author_role author
author2 Chaudhry, Sajid M.
Shahbaz, Muhammad
Reboredo Nogueira, Juan Carlos
author2_role author
author
author
dc.contributor.none.fl_str_mv Universidade de Santiago de Compostela. Departamento de Economía Aplicada
dc.subject.none.fl_str_mv Crude oil
Metal commodities
Quantile regression
topic Crude oil
Metal commodities
Quantile regression
description 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.
publishDate 2021
dc.date.none.fl_str_mv 2021
2021-01-01
2021
2021-01-01
dc.type.none.fl_str_mv journal article
http://purl.org/coar/resource_type/c_6501
VoR
http://purl.org/coar/version/c_970fb48d4fbd8a85
dc.type.openaire.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv https://hdl.handle.net/10347/40608
url https://hdl.handle.net/10347/40608
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.relation.none.fl_str_mv Agencia Estatal de Investigación http://dx.doi.org/10.13039/501100011033 Plan Estatal de Investigación Científica y Técnica y de Innovación 2017-2020 RTI2018-100702-B-I00 RIESGOS CLIMATICOS, ESTABILIDAD FINANCIERA Y DECISIONES DE INVERSION EN LOS MERCADOS FINANCIEROS
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
http://creativecommons.org/licenses/by/4.0/
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
http://creativecommons.org/licenses/by/4.0/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Canadian Center of Science and Education (CCSE)
publisher.none.fl_str_mv Canadian Center of Science and Education (CCSE)
dc.source.none.fl_str_mv reponame:Minerva. Repositorio Institucional de la Universidad de Santiago de Compostela
instname:Universidad de Santiago de Compostela (USC)
instname_str Universidad de Santiago de Compostela (USC)
reponame_str Minerva. Repositorio Institucional de la Universidad de Santiago de Compostela
collection Minerva. Repositorio Institucional de la Universidad de Santiago de Compostela
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15,812429

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