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A three-way analysis of the relationship between the USD value and the prices of oil and gold: a wavelet analysis

Alatrturi, Basheer H. M. and Alshammri, Ahmad Alrazni and Saiti, Buerhan and Erol, Turan (2018) A three-way analysis of the relationship between the USD value and the prices of oil and gold: a wavelet analysis. AIMS Energy, 6 (3). pp. 487-504. ISSN 2333-8334

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Abstract

This study examines the relationships among oil prices, gold prices, and the USD real exchange rate. It adopts the wavelet approach as a nonlinear causality technique to decompose the data into various scales over time. Higher-order coherence and partial coherence were used to identify the lead-lag effect and mutual coherence function among the variables. The results show that changes in the USD exchange rate influence the prices of oil and gold negatively in the short- and medium-term. While in the long-term, the oil price has a negative impact on the value of the USD. Oil and gold are significantly linked and correlated because their prices are determined in USD. The findings of this paper have significant implications, particularly for risk management.

Item Type: Article (Journal)
Additional Information: 7451/64754
Uncontrolled Keywords: wavelet; partial wavelet coherence; U.S. dollar value; oil prices; gold prices
Subjects: H Social Sciences > HG Finance > HG201 Money
H Social Sciences > HG Finance > HG201 Money
Kulliyyahs/Centres/Divisions/Institutes: Institute of Islamic Banking & Finance (IIiBF)
Depositing User: ASSOC PROF DR BUERHAN SAITI
Date Deposited: 11 Jul 2018 10:58
Last Modified: 13 Mar 2019 11:51
URI: http://irep.iium.edu.my/id/eprint/64754

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