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co-movements of oil, gold, the u.s. dollar, and stocksco-movements石油、黄金、美元和股市.pdf

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co-movements of oil, gold, the u.s. dollar, and stocksco-movements石油、黄金、美元和股市

Modern Economy, 2012, 3, 111-117 111 /10.4236/me.2012.31015 Published Online January 2012 (http://www.SciRP.org/journal/me) * Co-Movements of Oil, Gold, the US Dollar, and Stocks 1 2 Subarna K. Samanta , Ali H. M. Zadeh 1School of Business, The College of New Jersey, Ewing, USA 2Department of Management, Susquehanna University, Selinsgrove, USA Email: ssamanta@, azadeh@ Received October 26, 2011; revised November 28, 2011; accepted December 19, 2011 ABSTRACT This paper examines the co-movements of several macro-variables in the world economy over a period of more than twenty years. Long-term co movements are examined by tracking the cointegration, common trend factor and the spill- er index over these variables (gold price, stock price, real exchange rate for dollar and the oil price of crude oil). Pre- minary examination suggests the possibility of cointegration among these variables indicating co-movements, although the spillover indices are found to be very small. Keywords: Stationarity; VARMA; Common Trends; Co-Integration; Granger Causality; Volatility; Spillover Index 1. Introduction lover effects or the interdependence among the economic variables using the forecast error variance decomposition The financial markets are getting more integrated and co-