Abstract
Gold and Oil have always had a central role within the international economy, and meet the interests of many investors, and in particular, 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 commodities prices (gold and oil) and the Euro/Dollar exchange rate, within the time frame from 2004 to 2014, so to find which specific variable can give significant information on the expected variation of other variables and on which time horizon. This can support the of investors’ choices on taking more effective speculative positions. Results obtained by means of a VAR model 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), suggesting that oil prices can give significant information on the expected value of the Euro/Dollar exchange rate.
Highlights
Gold and oil prices have always been two reference values for the international economy
The analysis of gold and oil prices and euro/dollar exchange rate performed on daily data from January 2004 to December 2014 shows some significant information
We found a direct linkage among oil and gold prices, and among the euro/dollar exchange rate and gold prices
Summary
Gold and oil prices have always been two reference values for the international economy. Over the years their prices have been highly volatile. Gold and oil meet the interests of investors, but above all speculators. From a theoretical point of view, gold price should increase during economic. The opposite is expected for oil prices, as they are mainly linked to the industrial activity, positively correlated with the business cycle. The introduction of the euro in 1999 added the euro/dollar exchange rate as a further reference variable, and this induced the operators and speculators on international markets to include this variable in their models and in the implementation of their strategies
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