Quantile causality and dependence between crude oil and precious metal prices

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dc.contributor.affiliationUniversidade de Santiago de Compostela. Departamento de Economía Aplicada
dc.contributor.authorShafiullah, Muhammad
dc.contributor.authorChaudhry, Sajid M.
dc.contributor.authorShahbaz, Muhammad
dc.contributor.authorReboredo Nogueira, Juan Carlos
dc.date.accessioned2025-03-28T12:59:42Z
dc.date.available2025-03-28T12:59:42Z
dc.date.issued2021
dc.description.abstractThis paper examines long-run dependence and causality between oil and precious metal (gold, silver, platinum, palladium, steel, and titanium) prices across quantiles by exploiting their time series properties with the help of novel econometric techniques. The empirical results for the period 1990–2019 indicate that oil and metal prices are nonstationary across different quantiles and that cointegration patterns differ widely across quantiles. Causality running from oil to metal prices is quantile-dependent and differs according to the metal, whereas upward and downward movements in metal prices have no causal effect on oil prices. These results have implications for investors and policymakers in terms of portfolio and risk management decisions.
dc.description.peerreviewedSI
dc.description.sponsorshipThe authors would like to thank Victor Troster for kindly providing the Matlab codes required to run the Troster (2018) quantile Granger causality test. Juan C. Reboredo acknowledges financial support from projects RTI2018-100702-B-I00 and CONSOLIDACIÓN 2019 GRC GI-2060 Análise Económica dos Mercados e Institucións—AEMI (ED431C 2019/11). The authors also would like to thank the editor and two anonymous reviewers for their very helpful suggestions and remarks.
dc.identifier.citationShafiullah, M., Chaudhry, S. M., Shahbaz, M., & Reboredo, J. C. (2021). Quantile causality and dependence between crude oil and precious metal prices. International Journal of Finance & Economics, 26(4), 6264-6280. https://doi.org/10.1002/IJFE.2119
dc.identifier.doi10.1002/IJFE.2119
dc.identifier.essn1916-9728
dc.identifier.issn1916-971X
dc.identifier.urihttps://hdl.handle.net/10347/40608
dc.issue.number4
dc.journal.titleInternational Journal of Finance and Economics
dc.language.isoeng
dc.page.final6280
dc.page.initial6264
dc.publisherCanadian Center of Science and Education (CCSE)
dc.relation.projectIDinfo:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2017-2020/RTI2018-100702-B-I00/ES/RIESGOS CLIMATICOS, ESTABILIDAD FINANCIERA Y DECISIONES DE INVERSION EN LOS MERCADOS FINANCIEROS/
dc.relation.publisherversionhttps://doi.org/10.1002/IJFE.2119
dc.rightsThis is an open access article under the terms of the Creative Commons Attribution License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited. © 2020 The Authors. International Journal of Finance & Economics published by John Wiley & Sons Ltd
dc.rightsAttribution 4.0 Internationalen
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/
dc.subjectCrude oil
dc.subjectMetal commodities
dc.subjectQuantile regression
dc.titleQuantile causality and dependence between crude oil and precious metal prices
dc.typejournal article
dc.type.hasVersionVoR
dc.volume.number26
dspace.entity.typePublication
relation.isAuthorOfPublication7da6c08b-f487-4c2d-b7f5-ad2831085d87
relation.isAuthorOfPublication.latestForDiscovery7da6c08b-f487-4c2d-b7f5-ad2831085d87

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