Reserch In The Linkage Relationgship Between Gold And Oil Price

Gold and oil are two kinds of special commodity than be essential for modern social stability and development, has a very significant impact on all aspects of society. In particular, we have recently experienced a sheep soaringand fall of gold and oil prices. So it is worth to research in the linkage relationship between the gold and oil price.This paper selected the daily closing price data from July 13, 1990 to September 15, 2009, a total of 4813 group of international gold prices and the U.S. West Texas light crude oil daily closing price of transaction data for gold and petroleum linkage between the prices of empirical studies. Based on the rolling method of correlation coefficient in conjunction with major historical events that took place during the period, this paper divide these data into four stages. The first phase consisted July 13, 1990 to December 31, 1998 data; Second phase of January 4, 1991 to December 29, 2000; The third phase from January 2, 2001 to December 31, 2007 data; Last phase includes the January 2, 2008 to September 15, 2009 .(1) Using co-integration theory, respectively, of the various stages of data co-integration test, establish error-correction model (VEC) and the Granger causality test them. Empirical results showed that the first phase and third phase of the oil is the Granger causes of gold and the relationship between the two is a positive linkage; second phase and fourth phase of gold is a Granger cause of oil, of which the second phase which showed a negative correlation, and the positive correlation of the fourth stage. The empirical results show that gold and oil price, there is no causal relationship between structural change, and contrary to Zhang Ying, Xu Li, and Hongmin Chen empirical findings.(2) Using Generalized auto-regressive Conditional heteroskedastic model (GARCH model) in four phases, respectively research in volatility spillover effects and the guide relationship between gold and oil market prices. The empirical results show that in the first phase, the oil market price fluctuations will cause price fluctuations in the gold market, but the gold market price fluctuations did not affect significantly on the oil market; the second phase, the gold market can reduce price fluctuations in the price of oil market volatility, oil price fluctuations little impact on the gold market; the third phase of the price of gold and oil market fluctuations affect each other; fourth phase of the gold market price fluctuations on the oil market is more significant the impact of the oil market price volatility on the impact of the gold market is not significant.