Are Oil, Gold and the Euro Inter-Related? Time Series and Neural Network Analysis

27 Pages Posted: 29 Nov 2011

Date Written: November 28, 2011

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

Suggested Citation

Malliaris, A. (Tassos) G. and Malliaris, Mary, Are Oil, Gold and the Euro Inter-Related? Time Series and Neural Network Analysis (November 28, 2011). Review of Quantitative Finance and Accounting, Forthcoming, Available at SSRN: https://ssrn.com/abstract=1965718

A. (Tassos) G. Malliaris (Contact Author)

Loyola University Chicago ( email )

16 E. Pearson Ave
Quinlan School of Business
Chicago, IL 60611
United States
312-915-6063 (Phone)

Mary Malliaris

Loyola University Chicago ( email )

16 East Pearson Street
Chicago, IL 60611
United States
312-915-7064 (Phone)

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