Document Type

Article

Publication Date

1-2013

Publication Title

Review of Quantitative Finance and Accounting

Volume

40

Issue

1

Pages

1-14

Abstract

This paper investigates inter-relationships among the price behavior of oil, gold and the euro using time series and neural network methodologies. Traditionally gold is a leading indicator of future inflation. Both the demand and supply of oil as a key global commodity are impacted by inflationary expectations and such expectations determine current spot prices. Inflation influences both short and long-term interest rates that in turn influence the value of the dollar measured in terms of the euro. Certain hypotheses are formulated in this paper and time series and neural network methodologies are employed to test these hypotheses. We find that the markets for oil, gold and the euro are efficient but have limited inter-relationships among themselves.

Comments

Author Posting. © Springer International Publishing AG 2013. This is the authors' version of the work. It is posted here by permission of the Review of Quantitative Finance and Accounting for personal use, not for redistribution. The definitive version was published in the Review of Quantitative Finance and Accounting, vol. 40, no. 1, 2013, https://link.springer.com/article/10.1007%2Fs11156-011-0265-9

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Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 3.0 License.

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