期刊
FINANCE RESEARCH LETTERS
卷 38, 期 -, 页码 -出版社
ACADEMIC PRESS INC ELSEVIER SCIENCE
DOI: 10.1016/j.frl.2020.101703
关键词
WTI; Gold; COVID-19; Contagion; Explosive process; Recursive rolling window; Time-varying Granger causality
This study examines the causal relationship between crude oil and gold prices and finds a bilateral contagion effect of bubbles between the two markets during the recent COVID-19 outbreak.
This paper examines the causal relationship between crude oil and gold spot prices to assess how the economic impact of COVID-19 has affected them. We analyze West Texas Light crude oil (WTI) and gold prices from January 4, 2010, to May 4, 2020. We detect common periods of mild explosivity in WTI and gold markets. More importantly, we find a bilateral contagion effect of bubbles in oil and gold markets during the recent COVID-19 outbreak.
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