Preliminary Research on Correlation of Gold, Crude Oil and the Dow Jones Industrial Average
Journal Title: Scholars Journal of Economics, Business and Management - Year 2016, Vol 3, Issue 4
Abstract
The recent instability in the world's financial markets, especially for such a "The first energy of the world" prices for crude oil change amplitude is too large. In this paper, a preliminary discussion of gold, crude oil and the Dow Jones industrial average correlation, using a vector autoregression method to establish the VAR model, and carry on the empirical analysis. Selects the Grander causality test methods for preliminary data processing and analysis, and through the established VAR model analysis results for gold, crude oil, and carries on the preliminary discussion, the correlation of the Dow Jones industrial average fuzzy estimate their relevance. Through the correlation between long-term and short-term prediction, can find the relationship between the three products, is only the DJIA to NLSCO short-term one-way leading relationship. DJIA can lead NLSCO price, and CG price can guide the DJIA. Keywords: VAR, Cointegration, Grander causality test, contagion effect.
Authors and Affiliations
Shuli Qiu, Yuxue Wang
Keywords
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