RT Journal Article
T1 Quantile causality and dependence between crude oil and precious metal prices
A1 Shafiullah, Muhammad
A1 Chaudhry, Sajid M.
A1 Shahbaz, Muhammad
A1 Reboredo Nogueira, Juan Carlos
K1 Crude oil
K1 Metal commodities
K1 Quantile regression
AB This 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.
PB Canadian Center of Science and Education (CCSE)
SN 1916-971X
YR 2021
FD 2021
LK https://hdl.handle.net/10347/40608
UL https://hdl.handle.net/10347/40608
LA eng
NO Shafiullah, 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
NO The 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.
DS Minerva
RD 26 abr 2026