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Are oil, gold and the euro inter-related? Time series and neural network analysis

  • A. G. MalliarisEmail author
  • Mary Malliaris
Original Research

Abstract

This paper investigates inter-relationships among the price behavior of oil, gold and the euro using time series and neural network methodologies. Traditionally gold is a leading indicator of future inflation. Both the demand and supply of oil as a key global commodity are impacted by inflationary expectations and such expectations determine current spot prices. Inflation influences both short and long-term interest rates that in turn influence the value of the dollar measured in terms of the euro. Certain hypotheses are formulated in this paper and time series and neural network methodologies are employed to test these hypotheses. We find that the markets for oil, gold and the euro are efficient but have limited inter-relationships among themselves.

Keywords

Oil Gold The Euro Relationships Time-series analysis Neural network methodology 

JEL Classification

G14 G15 Q41 

Notes

Acknowledgment

We are thankful to Joko Mulyadi for data collection, bibliographical search and computational assistance. Valuable comments were given by Bala Batavia, Marc Hayford and several conference participants. We are also grateful to anonymous referees of the Review of Quantitative Finance and Accounting for valuable comments during two substantial revisions that helped us improve considerably this version and to Professor C. F. Lee, Editor-In-Chief for great encouragement and support.

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Copyright information

© Springer Science+Business Media, LLC 2011

Authors and Affiliations

  1. 1.School of Business AdministrationLoyola University ChicagoChicagoUSA

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