Dynamics of oil price, precious metal prices, and exchange rate

This study examines the co-movements and information transmission among the spot prices of four precious metals (gold. silver, platinum, and palladium), oil price, and the US dollar/euro exchange rate. We find evidence of a weak long-run equilibrium relationship but strong feedbacks in the short run. The spot precious metal markets respond significantly (but temporarily) to a shock in any of the prices of the other metal prices and the exchange rate. Furthermore, we discover some evidence of market overreactions in the palladium and platinum cases as well as in the exchange rate market. In conclusion, whether there are overreactions and re-adjustments or not, investors may diversify at least a portion of the risk away by investing in precious metals, oil, and the euro. Policy implications are provided.


Do global risk perceptions influence world oil prices?
Sarı, Ramazan; Soytaş, Uğur (2011-05-01)
This paper investigates the information transmission mechanism between world oil, gold, silver, dollar/euro exchange rate markets, and volatility index (VIX) accommodating for global risk perceptions. We find that there is a unique long run equilibrium relationship, where gold, silver, exchange rate, and risk perceptions appear as long run forcing variables of world oil prices. We uncover that global risk perceptions have a significantly suppressing effect on oil prices in the long run. We also discover tha...
World oil prices, precious metal prices and macroeconomy in Turkey
Soytaş, Uğur; Sarı, Ramazan (2009-12-01)
We examine the long- and short-run transmissions of information between the world oil price, Turkish interest rate, Turkish lira-US dollar exchange rate, and domestic spot gold and silver price. We find that the world oil price has no predictive power of the precious metal prices, the interest rate or the exchange rate market in Turkey. The results also show that the Turkish spot precious metals, exchange rate and bond markets do not also provide information that would help improve the forecasts of world oi...
Inluence of world oil and copper prices on turkish precious metals and financial markets
Gürsel, Gökçe; Soytaş, Uğur; Department of Business Administration (2011)
In this thesis the relationship between Brent oil prices, LME copper prices, Turkish gold and silver spot prices, XU100 index, interest rate and exchange rate is examined. Their long run Granger causality relationship is investigated by looking at Wald statistics. The short run relationship between them is examined by using generalized impulse responses. The data range is from January 2, 2002 to February 24, 2011. Due to the oil crisis in 2008, we divide the data into three periods: January 2, 2002 to Decem...
Volatility Spillover from Oil to Food and Agricultural Raw Material Markets
Kaltalıoğlu, Müge; Soytaş, Uğur (2011-05-01)
The upward movement in oil and food prices in the 2000s has attracted interest in the information transmission mechanism between the two markets. This paper investigates the volatility spillover between oil, food consumption item, and agricultural raw material price indexes for the period January 1980 to April 2008.The results of the Cheung-Ng procedure show that variation in oil prices does not Granger cause the variance in food and agricultural raw material prices. Since there is no volatility spillover f...
Hammoudeh, Shawkat; Sarı, Ramazan; Ewing, Bradley T. (Wiley, 2009-04-01)
We examine the comovements among the prices of four strategic commodities that have long, adequate daily series: oil, gold, silver, and copper as a group. We also explore their causal relationships with two commodity-relevant macrofinancial variables: interest and exchange rates as an expanded group to shed some light on the prediction behaviors of those individual commodity prices relative to the selected financial variables. In the expanded group, the selected interest rate can provide a transmission link...
Citation Formats
R. Sarı and U. Soytaş, “Dynamics of oil price, precious metal prices, and exchange rate,” ENERGY ECONOMICS, pp. 351–362, 2010, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/36543.