TY - JOUR
T1 - Roling-window bounds testing approach to analyze the relationship between oil prices and metal prices
AU - Shahbaz, Muhammad
AU - Khan, Asad ul Islam
AU - Mubarak, Muhammad Shujaat
N1 - Publisher Copyright:
© 2022 Board of Trustees of the University of Illinois
PY - 2023/2
Y1 - 2023/2
N2 - This paper is to find how the existence of a long-run relationship between oil prices and metals prices evolved for the time from January 1979 to December 2017. The rolling-window autoregressive lag modeling (RARDL) testing approach of cointegration has been introduced and applied to assess the long-run relationship considering four rolling windows of 5, 10, 15, and 20 years. The empirical evidence concludes that for a small rolling window of 5 years, there is no evidence of the long-run relationship between oil prices and metals prices, i.e. gold, platinum, and silver. However, there is a long-run relationship between oil prices and steel prices from December 2003 to December 2014. At larger rolling windows of 10, 15 and 20 years, oil prices and gold prices are not cointegrated; however, steel, silver, and platinum have a long-run relationship with oil prices in different periods.
AB - This paper is to find how the existence of a long-run relationship between oil prices and metals prices evolved for the time from January 1979 to December 2017. The rolling-window autoregressive lag modeling (RARDL) testing approach of cointegration has been introduced and applied to assess the long-run relationship considering four rolling windows of 5, 10, 15, and 20 years. The empirical evidence concludes that for a small rolling window of 5 years, there is no evidence of the long-run relationship between oil prices and metals prices, i.e. gold, platinum, and silver. However, there is a long-run relationship between oil prices and steel prices from December 2003 to December 2014. At larger rolling windows of 10, 15 and 20 years, oil prices and gold prices are not cointegrated; however, steel, silver, and platinum have a long-run relationship with oil prices in different periods.
KW - Cointegration
KW - Metal prices
KW - Oil prices
UR - http://www.scopus.com/inward/record.url?scp=85124287294&partnerID=8YFLogxK
U2 - 10.1016/j.qref.2022.01.015
DO - 10.1016/j.qref.2022.01.015
M3 - Article
AN - SCOPUS:85124287294
SN - 1062-9769
VL - 87
SP - 388
EP - 395
JO - Quarterly Review of Economics and Finance
JF - Quarterly Review of Economics and Finance
ER -