Research On The Lead Lag Relationship Between Oil Price And Gold Price

Under the impact of the epidemic,crude oil demand fell,prices plummeted,and gold,as a hard currency,has a certain risk avoidance function.For a long time,the price of gold and crude oil have always been the key indicator values of macroeconomic policies,and the relationship between them is closely related and has been concerned again.This paper reviews studies on the interconnection between oil price and gold price and the influencing factors,and applies qualitative research methods to discuss the interrelationship between the influence of oil price and gold price.Then,using VAR regression and Granger test models,we examine the mean and volatility spillover effects between gold and oil prices,and analyze the dynamic relationship between oil and gold prices from several perspectives.Due to the complexity of the mutual influence relationship between gold and oil prices,this paper uses eleven years of data from 2010 to 2020 to fully show the relationship between them.Through the empirical analysis,this paper draws the following three conclusions: First.Neither Brent crude oil nor COMEX gold price movements are Granger causes of each other during the sample period of 2010 to 2020.In an increasingly efficient financial market,it is clearly difficult to have a more stable leading lag relationship between gold and oil prices.Second,the existence of spillover effects between the volatility of Brent crude oil and COMEX gold suggests that in most periods,increased uncertainty in the oil(gold)market will elevate uncertainty in the gold(oil)market,and that gold cannot simply be assumed to be protected against the risks associated with oil price volatility.The risk linkage characteristics of the global asset class are obvious.Third,Compared with previous empirical studies,the empirical results of this paper support the view that "there is no clear causal relationship between gold and oil",and the above conclusion still holds after expanding the research sample to 2001 to 2020.There is no significant structural change in the characteristics of gold and crude oil price volatility during the New Crown epidemic in 2020.By rolling the Granger test,this paper speculates that the conclusion of one-way Granger causality between gold and crude oil found in the previous literature is likely to be generated by the sample interval.In the end,gradually from the scientific research results in the article,it puts forward investment recommendations and policy recommendations to investors and government units in my country's financial market.