Time series analysis of co-movements in the prices of gold and oil: Fractional cointegration approach

摘要

Abstract This paper deals with the relationship between oil prices and gold prices using some recently developed techniques in time series analysis, and based on the concepts of fractional integration and cointegration. We show first, that using standard methods of unit roots and cointegration with integer degrees of differentiation, the two series seem to be individually I(1) though cointegrated. However, using fractional techniques, we show that there exists a fractionally cointegrated relationship between the two variables, with an order of integration in the long run relationship of about 0.46. Moreover, shocks in the price of gold seem to have an effect on the price of oil that persists in time. Highlights ? The paper deals with the relationship between oil prices and gold prices. ? We usefractional integration and cointegration. ? Using standard unit roots and cointegrationmethods the two series are individually I(1) though cointegrated. ? Using fractional techniques, we show that there exists a fractionally cointegrated relationship between the two variables, with an order of integration in the long run relationship of about 0.46. ]]>