TIME VARYING CAUSALITY BETWEEN GOLD AND OIL PRICES

Abstract

The causality relationship between gold and oil prices is analyzed in this research. For that purpose time-varying Hatemi-J (2012) Asymmetric Causality Analysis was used. Used data set was monthly gold and oil prices from May 2005 to March 2016. According to research results, the causality relationship from gold to oil is the concern in both positive and negative shocks and the periods of important economic, social or political events. However, the causality relationship from oil to gold is only valid for positive shocks, but it is not valid for negative shocks.