Cointegration Analysis: An Application On Gold Prices (AI)
Cointegration Analysis: An Application On Gold Prices (AI)
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17. Uluslararası Ekonometri, İstatistik ve Yöneylem Araştırması Sempozyumu (17. EYİ)
In this study, the long-term relationship between the exchange rate, the stock exchange index and the oil price variables, which are some of the determiners of the gold prices, and the coefficiency (cointegration) analysis and the causality relationship between the variables are studied by the granger causality analysis.After the logaritm of gold price and oil price variables is taken, the generalized dickey-fuller (adf) test applied to all variables shows that the variables are not stable at the level, and they are stable after the first differences are taken.According to the findings obtained from the study, the matching test results show that the variables have a long-term relationship.In the framework of the vector error correction model (vecm), granger causality tests show that in the short term the price of gold and the exchange rate, the exchange rate and the price of oil variables have a double causality relationship and in the long term the exchange rate, the exchange rate, the exchange rate, the exchange rate, the exchange rate, the exchange rate, the exchange rate, the exchange rate, the exchange rate, the exchange rate, the exchange rate, the exchange rate, the exchange rate, the exchange rate, the exchange rate, the exchange rate, the exchange rate, the exchange rate, the exchange rate, the exchange rate, the exchange rate, the exchange rate, the exchange rate, the exchange rate, the exchange rate, the exchange rate, the exchange rate, the exchange rate, the exchange rate, the exchange rate, the exchange rate, the exchange rate, the exchange rate,
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