Research On Unrestricted Multivariate Cointegration Model Of Gold And Oil Prices

Gold and oil, as two special commodity, are indispensable mater basis for national development, which have a very important impact on all aspects of society development and progress. At the same time, in international economic, political, military, financial and other fields, gold and oil also have a pivotal position. Currently, the gold investment in this emerging investment market is springing up, which has a good development trend and broad future prospects. The personal teams in gold business are also growing now; gold investments are concerned by the investors and have become a hot topic in the moment. Meanwhile, along with the economic development and globalization process accelerating, the interlinkages and the potential causal relationship caused by the intrinsic fluctuations have become increasingly closer among the various markets, especially financial markets. Therefore, gold and oil earnings and risk characteristics catch the attention of scholars both at home and abroad. In particular, we have recently experienced a dramatic "boom" and "plunge" of gold and oil prices. So, whether is there a fixed linkage mechanism between the two fluctuations? Whether there is a potential causal relationship between gold prices and oil prices? These problems are worth pondering.This paper selects the monthly data from 1976.1 to 2014.6.We choose the international price of gold, the United States West Texas Intermediate crude oil (West Texas Intermediate, the WTI), U.S. prices and dollar exchange rata as sample data since the Bretton Woods system until the latest data on June,2014. The aim of this study was to disentangle the underlying causalities between gold price, oil prices, exchange rates and U.S. consumer prices.On the basis of summarizing the relevant research domestic and foreign, this paper set up a corresponding VAR model and VECM model for co-integration test and use the MA expressions of cointegrating VAR to analysis of long-term equilibrium adjustment shock. The main conclusion we reach is that there are two stable long-term cointegration relationships among gold price, oil price, CPI and dollar exchange rate. Oil price positively correlated with the price of gold. Gold price drives the long-term equilibrium system. At least in a long-run equilibrium relationship, when the deviation occurs, oil price, CPI and dollar exchange rate both can play a long-term adjustment for imbalances role. One long-run causality seems to run from gold prices to oil prices. In addition, the gold and oil price trend are important determinant factors for the dollar exchange rate. At the same time, CPI is far more sensitive to the price of gold compare the price of oil.