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Analysation the relationship between the world prices of the Oil,Euro and Gold by Using Vector Autoregressive (VAR) | ||
| IRAQI JOURNAL OF STATISTICAL SCIENCES | ||
| Article 3, Volume 8, Issue 2, 2008, Pages 15-42 PDF (0 K) | ||
| DOI: 10.33899/iqjoss.2008.31076 | ||
| Abstract | ||
| This research analyze the cross relationship between the world prices for each of the Opec Oil, Euro exchange and Gold,in a system of three equations by using Vector Autoregressive Model.To specify and to measure the direction of the causal relationship between the the variables,we use Granger causality,we specify two equations according to the last test,the first is:the relationship of the Euro exchange with the Opec Oil prices,world Gold prices and with there lags.the second is:the relationship of the Gold price with Euro exchange,Opec Oil price and with there lags.We use co-integration test to determine if there is a long run relationship between the variables in this research .to analysis,we use daily data for the period from 2-1-2007 to 15-5-2008.It is obvious from the analysis, the interlocation relationship between the world prices for the variables in this study,and it it is clear that is the variable of Opec Basket price is Exogenous, while the world prices of each Gold and Euro is Endogenous variables. | ||
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