GR Semicolon EN

Show simple item record

dc.contributor.author
Koutsiampasouli, Chaido
en
dc.date.accessioned
2015-06-17T08:44:47Z
dc.date.available
2015-09-27T05:56:08Z
dc.date.issued
2015-06-17
dc.identifier.uri
https://repository.ihu.edu.gr//xmlui/handle/11544/395
dc.rights
Default License
dc.title
Spot Price Dynamics between the Gold and “Black Gold” Markets
en
heal.type
masterThesis
heal.keyword
Petroleum products--Prices
en
heal.keyword
Dissertations, Academic
en
heal.language
en
heal.access
free
el
heal.license
http://creativecommons.org/licenses/by-nc/4.0
heal.recordProvider
School of Science and Technology, MSc in Energy Systems
heal.publicationDate
2013-11
heal.bibliographicCitation
Koutsiampasouli Chaido, 2013, Spot price dynamics between the gold and "black gold" markets, Master's Dissertation, International Hellenic University
en
heal.abstract
This dissertation investigates the causal relationships between the crude oil (spot and one-month maturity futures) prices and fixing gold prices, conditioning on the U.S. dollar exchange rate against a basket of major currencies. We used daily data for the sample period spanning from January 2, 1986 till August 13, 2013. Two frequency domain nonlinear causality tests [Breitung and Candelon, 2006 and Lemmens et al., 2008] were implemented before and after first moment filtering, in order to identify the nature of causality. Firstly, we examined the causal relationships between the returns of our series and found a unidirectional causality running from the spot and futures oil market towards the gold market for all frequencies (with and without conditioning on the U.S. dollar exchange rate). As for the filtered series, our findings revealed the existence of bidirectional causal relationships in both short- and long-run between crude oil spot prices and gold prices as well as between crude oil futures prices and gold prices, on both bivariate and trivariate level.
en
heal.tableOfContents
1. Introduction ................................................................................................................................ 8 2. Literature Review .................................................................................................................... 12 2.1 The effect of crude oil market on other non-related energy commodities. ................................... 12 2.2 The role of gold to act as a hedge or safe haven in the market. ................................................ 24 2.3 The nexus between gold and oil spot and future prices. ........................................................... 31 3. Methodological Framework .................................................................................................. 38 3.1 Unit Root Tests ................................................................................................................... 38 3.1.1 The Augmented Dickey-Fuller Test (ADF) ............................................................. 39 3.1.2 The Dickey-Fuller Test with GLS Detrending (DF GLS) ....................................... 40 3.1.3 The Phillips-Perron Test (PP) ................................................................................... 41 3.1.4 The Kwiatkowski, Phillips, Schmidt and Shin Test (KPSS) ..................................... 41 3.1.5 Zivot and Andrews Unit Root Test with a Single Structural Break (ZA) ................. 42 3.1.6 The non-linear unit root test of Kapetanios et al. (KSS) ............................................. 43 3.2 Cointegration ....................................................................................................................... 45 3.2.1 The Johansen Test for Cointegration .......................................................................... 45 3.2.2 The Gregory and Hansen Test for Cointegration (GH) ............................................. 47 3.3 The Granger Causality......................................................................................................... 48 3.3.1 Frequency domain Causality Test of Breitung and Candelon (2006) .......................... 49 3.3.2 The Lemmens et al. (2008) Causality Test ............................................................... 52 4. Empirical Application ............................................................................................................ 57 4.1 Data sources ........................................................................................................................ 57 4.2 Data descriptive statistics ...................................................................................................... 62 4.3 Stationarity of the Variables ................................................................................................ 63 4.4 Cointegration Examination .................................................................................................. 67 4.5 Non-linear Causality Tests for the unfiltered series ................................................................ 70 4.5.1. Bivariate non-linear Causality Tests ......................................................................... 71 4.5.2 Trivariate non-linear Causality Test. ......................................................................... 76 4.6 Non-linear causality tests for the ECM-filtered series ............................................................ 78 4.6.1 Bivariate non-linear Causality tests ........................................................................... 79 4.6.2 Trivariate non-linear Causality test ........................................................................... 83 5. Policy Implications ................................................................................................................. 87 6. Conclusions.............................................................................................................................. 89 Acknowledgments ....................................................................................................................... 93 References .................................................................................................................................... 94
en
heal.advisorName
Dergiades, T.
en
heal.committeeMemberName
Dergiades
en
heal.committeeMemberName
Nomikos
en
heal.committeeMemberName
Prof. Apergis
en
heal.academicPublisher
School of Science &Technology, Master of Science (MSc) in Energy Systems
en
heal.academicPublisherID
ihu
heal.numberOfPages
97
heal.fullTextAvailability
true


This item appears in the following Collection(s)

Show simple item record

Related Items