Gold and Oil have always had a central role within the international economy. Over the years their listings have been influenced by a series of events, which have made their prices extremely volatile. Hence gold and oil are two commodities that meet the interests of many investors, but, above all, speculators. The Euro introduction (1999) has added the Euro-Dollar exchange rate as a further main variable that the operators, investing on these commodities, have to consider when implementing their strategies. This paper analyzes the mutual relationship between gold and oil prices and the Euro/Dollar exchange rate within the time frame of 2004 to 2014. The quantification of these relationships, and in particular the knowledge of which specific variable can give significant information on the expected variation of which other variable, and on which time horizon, can support the of investors’ choices on taking more effective speculative positions. The study of these relationships is carried out by means of the VAR (Vector Auto Regression) model. Results show some significant statistical relationship between the three variables on the short term (i.e. when considering daily data), but also some possible relationship on a longer term (monthly data). Finally, the estimations obtained on daily data suggest that oil prices can give significant information on the expected value of the euro/Dollar exchange rate, thus suggest which position to take in the market for a more effective speculative strategy.
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|Titolo:||Oro, petrolio e tasso di cambio Euro/Dollaro. Uno studio delle relazioni dinamiche|
|Appare nelle tipologie:||1.1 Articolo in rivista|
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