An Analysis of Inter-Relationship among Commodities, Stock and Economic Indices

Cardiometry

article

Sahil Gupta¹  Madhvi Sethi² 

[1] Symbiosis Institute of Business Management Bengaluru;Symbiosis International ,(Deemed University) Pune

关键词: Commodity;    Economic indices;    Gold price;    Oil price;    Consumer Confidence Index;    Industrial production;    S&P500;    USDX;    Vector Auto regression;    Granger causality;   

DOI  :  10.18137/cardiometry.2022.24.418426

学科分类：环境科学（综合）

来源: Russian New University

【 摘 要 】

This research will concentrate primarily on commodity relationships, mainly, prices of oil (OP) and gold (GP), US stock market (S&P500), consumer confidence index (CCI), the US Dollar index (USDX), and the industrial production (IP). The purpose of the analysis is to study the dynamic interconnection between OP, USDX, CCI, GP, IP, and S&P500, by estimating the Vector Auto Regression (VAR) model. OP, CCI, GP, USDX, S&P500, and IP are the different variables used in this paper. Using monthly data from January 1971 to May 2020, this study applies the Granger causality test, Variance Decomposition (VDC) analysis, and Impulse Response Function (IRF). It can be inferred from the results that USDX has a significant relationship with GP and has a causal impact on GP. Industrial Production has also shown a significant relationship with S&P500 and has a causal impact on S&P500. The result also suggested that CCI and S&P500 share a unidirectional relationship; the volatility in CCI in the short run is due to the S&P500. Also, the variables do not have any other significant relationship. The findings also highlighted that USDX directly affected GP negatively. Industrial production directly impacted S&P500 in the short run, while a positive relationship is shared between CCI and S&P 500.

【 授权许可】

CC BY