Analyzing Nexus between Crude Oil, Gold, Dollar and Equity Markets with Structural Break: ARDL Evidence from India
This paper explores the price relations between the Crude oil, Gold, US dollar, and equities during several economic episodes. The long- and short-term causal relationships between asset markets are examined in this study. The research uses a ‘Vector Error Correction Model (VECM)’ and an ‘Autoregre...
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| Format: | Article |
| Language: | English |
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EconJournals
2024-05-01
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| Series: | International Journal of Energy Economics and Policy |
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| Online Access: | https://www.econjournals.com.tr/index.php/ijeep/article/view/15678 |
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| author | T. G. Saji V. P. Joshith T. A. Binoy K. Sravana |
| author_facet | T. G. Saji V. P. Joshith T. A. Binoy K. Sravana |
| author_sort | T. G. Saji |
| collection | DOAJ |
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This paper explores the price relations between the Crude oil, Gold, US dollar, and equities during several economic episodes. The long- and short-term causal relationships between asset markets are examined in this study. The research uses a ‘Vector Error Correction Model (VECM)’ and an ‘Autoregressive Distributed Lag (ARDL)’ bounds test to examine monthly data from April 1999 to March 2022. The results demonstrate the weak connections between asset markets throughout the different sample periods. Furthermore, the integration of most markets is uneven and changes over time. The currency and equity markets are adjusting to the long-run equilibrium only at a slow pace. We suggest that systematic risk factors must be taken into account while jointly modeling market linkages. This study improves on previous research in the subject by demonstrating the time-varying effects of asset price links on portfolio optimizations in different economic episodes.
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| format | Article |
| id | doaj-art-e9386ce2745140e6b3fca93b6d4df9cd |
| institution | Kabale University |
| issn | 2146-4553 |
| language | English |
| publishDate | 2024-05-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Energy Economics and Policy |
| spelling | doaj-art-e9386ce2745140e6b3fca93b6d4df9cd2024-12-27T01:04:40ZengEconJournalsInternational Journal of Energy Economics and Policy2146-45532024-05-0114310.32479/ijeep.15678Analyzing Nexus between Crude Oil, Gold, Dollar and Equity Markets with Structural Break: ARDL Evidence from IndiaT. G. Saji0V. P. Joshith1T. A. Binoy2K. Sravana3Central University of Kerala, IndiaCentral University of Kerala, IndiaCentral University of Kerala, IndiaCentral University of Kerala, India This paper explores the price relations between the Crude oil, Gold, US dollar, and equities during several economic episodes. The long- and short-term causal relationships between asset markets are examined in this study. The research uses a ‘Vector Error Correction Model (VECM)’ and an ‘Autoregressive Distributed Lag (ARDL)’ bounds test to examine monthly data from April 1999 to March 2022. The results demonstrate the weak connections between asset markets throughout the different sample periods. Furthermore, the integration of most markets is uneven and changes over time. The currency and equity markets are adjusting to the long-run equilibrium only at a slow pace. We suggest that systematic risk factors must be taken into account while jointly modeling market linkages. This study improves on previous research in the subject by demonstrating the time-varying effects of asset price links on portfolio optimizations in different economic episodes. https://www.econjournals.com.tr/index.php/ijeep/article/view/15678Oil, Gold, Dollars, Stock Returns, ARDL, VECM |
| spellingShingle | T. G. Saji V. P. Joshith T. A. Binoy K. Sravana Analyzing Nexus between Crude Oil, Gold, Dollar and Equity Markets with Structural Break: ARDL Evidence from India International Journal of Energy Economics and Policy Oil, Gold, Dollars, Stock Returns, ARDL, VECM |
| title | Analyzing Nexus between Crude Oil, Gold, Dollar and Equity Markets with Structural Break: ARDL Evidence from India |
| title_full | Analyzing Nexus between Crude Oil, Gold, Dollar and Equity Markets with Structural Break: ARDL Evidence from India |
| title_fullStr | Analyzing Nexus between Crude Oil, Gold, Dollar and Equity Markets with Structural Break: ARDL Evidence from India |
| title_full_unstemmed | Analyzing Nexus between Crude Oil, Gold, Dollar and Equity Markets with Structural Break: ARDL Evidence from India |
| title_short | Analyzing Nexus between Crude Oil, Gold, Dollar and Equity Markets with Structural Break: ARDL Evidence from India |
| title_sort | analyzing nexus between crude oil gold dollar and equity markets with structural break ardl evidence from india |
| topic | Oil, Gold, Dollars, Stock Returns, ARDL, VECM |
| url | https://www.econjournals.com.tr/index.php/ijeep/article/view/15678 |
| work_keys_str_mv | AT tgsaji analyzingnexusbetweencrudeoilgolddollarandequitymarketswithstructuralbreakardlevidencefromindia AT vpjoshith analyzingnexusbetweencrudeoilgolddollarandequitymarketswithstructuralbreakardlevidencefromindia AT tabinoy analyzingnexusbetweencrudeoilgolddollarandequitymarketswithstructuralbreakardlevidencefromindia AT ksravana analyzingnexusbetweencrudeoilgolddollarandequitymarketswithstructuralbreakardlevidencefromindia |