油价与贵金属之间的时变因果关系：引导式滚动窗口格兰杰因果关系方法

Q1 Economics, Econometrics and Finance

International Journal of Energy Economics and Policy Pub Date : 2024-07-05 DOI:10.32479/ijeep.15728

Amna Zardoub

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引用次数: 0

摘要

研究石油价格与贵金属之间的相互作用是一项重要的研究活动，它促使各种经济学家寻求经济和政治层面的影响。同样重要的是要考虑到石油和贵金属市场在 COVID-19 大流行和最近的乌克兰-俄罗斯战争期间的演变。在本文中，我们使用滚动窗口格兰杰引导因果关系法研究了石油价格与三种贵金属（即黄金、白银和铂金）之间的联系。研究对象是 2004 年 1 月至 2022 年 5 月期间的石油价格和贵金属月度数据。实证结果表明，石油与铂金之间存在较强的单向因果关系，而石油与其他两种金属之间不存在因果关系。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Time Varying Causality between Oil Price and Precious Metals : Bootstrap Rolling Windows Granger Causality Approach

The study of the interaction between oil price and precious metals occupies a research activity and pushes various economists to seek implications both on the economic and political level. It is also important to take into account the evolution of the oil and precious metals markets throughout the period of the COVID-19 pandemic and recently the Ukraine-Russian war. In this paper, we examine the link between the oil price and three types of precious metals namely gold, silver and platinum using the rolling window Granger bootstrap causality method. The study is conducted on the monthly data of oil price and precious metals from the period span from January, 2004 to May, 2022. The empirical results lead to a strong unidirectional causality between oil and platinum and absence of causality between oil and the other two metals.

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来源期刊

International Journal of Energy Economics and Policy Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)

CiteScore

3.20

自引率

0.00%

发文量

296

审稿时长

14 weeks

期刊介绍： International Journal of Energy Economics and Policy (IJEEP) is the international academic journal, and is a double-blind, peer-reviewed academic journal publishing high quality conceptual and measure development articles in the areas of energy economics, energy policy and related disciplines. The journal has a worldwide audience. The journal''s goal is to stimulate the development of energy economics, energy policy and related disciplines theory worldwide by publishing interesting articles in a highly readable format. The journal is published bimonthly (6 issues per year) and covers a wide variety of topics including (but not limited to): Energy Consumption, Electricity Consumption, Economic Growth - Energy, Energy Policy, Energy Planning, Energy Forecasting, Energy Pricing, Energy Politics, Energy Financing, Energy Efficiency, Energy Modelling, Energy Use, Energy - Environment, Energy Systems, Renewable Energy, Energy Sources, Environmental Economics, Oil & Gas .