A three-way analysis of the relationship between the USD value and the prices of oil and gold: a wavelet analysis

This study examines the relationships among oil prices, gold prices, and the USD real exchange rate. It adopts the wavelet approach as a nonlinear causality technique to decompose the data into various scales over time. Higher-order coherence and partial coherence were used to identify the lead-lag...

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Main Authors:	Alatrturi, Basheer H. M., Alshammri, Ahmad Alrazni, Saiti, Buerhan, Erol, Turan
Format:	Article
Language:	English English English
Published:	AIMS Press 2018
Subjects:	HG201 Money
Online Access:	http://irep.iium.edu.my/64754/ http://irep.iium.edu.my/64754/ http://irep.iium.edu.my/64754/ http://irep.iium.edu.my/64754/1/64754_A%20three-way%20analysis%20of%20the%20relationship.pdf http://irep.iium.edu.my/64754/2/64754_A%20three-way%20analysis%20of%20the%20relationship_SCOPUS.pdf http://irep.iium.edu.my/64754/13/64754_A%20three-way%20analysis%20of%20the%20relationship%20between%20the%20USD%20value%20and%20the%20prices%20of%20oil%20and%20gold%20A%20wavelet%20analysis_WOS.pdf

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spelling	iium-647542019-03-13T03:51:41Z http://irep.iium.edu.my/64754/ A three-way analysis of the relationship between the USD value and the prices of oil and gold: a wavelet analysis Alatrturi, Basheer H. M. Alshammri, Ahmad Alrazni Saiti, Buerhan Erol, Turan HG201 Money This study examines the relationships among oil prices, gold prices, and the USD real exchange rate. It adopts the wavelet approach as a nonlinear causality technique to decompose the data into various scales over time. Higher-order coherence and partial coherence were used to identify the lead-lag effect and mutual coherence function among the variables. The results show that changes in the USD exchange rate influence the prices of oil and gold negatively in the short- and medium-term. While in the long-term, the oil price has a negative impact on the value of the USD. Oil and gold are significantly linked and correlated because their prices are determined in USD. The findings of this paper have significant implications, particularly for risk management. AIMS Press 2018 Article PeerReviewed application/pdf en http://irep.iium.edu.my/64754/1/64754_A%20three-way%20analysis%20of%20the%20relationship.pdf application/pdf en http://irep.iium.edu.my/64754/2/64754_A%20three-way%20analysis%20of%20the%20relationship_SCOPUS.pdf application/pdf en http://irep.iium.edu.my/64754/13/64754_A%20three-way%20analysis%20of%20the%20relationship%20between%20the%20USD%20value%20and%20the%20prices%20of%20oil%20and%20gold%20A%20wavelet%20analysis_WOS.pdf Alatrturi, Basheer H. M. and Alshammri, Ahmad Alrazni and Saiti, Buerhan and Erol, Turan (2018) A three-way analysis of the relationship between the USD value and the prices of oil and gold: a wavelet analysis. AIMS Energy, 6 (3). pp. 487-504. ISSN 2333-8334 http://www.aimspress.com/article/10.3934/energy.2018.3.487/pdf 10.3934/energy.2018.3.487
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English English English
topic	HG201 Money
spellingShingle	HG201 Money Alatrturi, Basheer H. M. Alshammri, Ahmad Alrazni Saiti, Buerhan Erol, Turan A three-way analysis of the relationship between the USD value and the prices of oil and gold: a wavelet analysis
description	This study examines the relationships among oil prices, gold prices, and the USD real exchange rate. It adopts the wavelet approach as a nonlinear causality technique to decompose the data into various scales over time. Higher-order coherence and partial coherence were used to identify the lead-lag effect and mutual coherence function among the variables. The results show that changes in the USD exchange rate influence the prices of oil and gold negatively in the short- and medium-term. While in the long-term, the oil price has a negative impact on the value of the USD. Oil and gold are significantly linked and correlated because their prices are determined in USD. The findings of this paper have significant implications, particularly for risk management.
format	Article
author	Alatrturi, Basheer H. M. Alshammri, Ahmad Alrazni Saiti, Buerhan Erol, Turan
author_facet	Alatrturi, Basheer H. M. Alshammri, Ahmad Alrazni Saiti, Buerhan Erol, Turan
author_sort	Alatrturi, Basheer H. M.
title	A three-way analysis of the relationship between the USD value and the prices of oil and gold: a wavelet analysis
title_short	A three-way analysis of the relationship between the USD value and the prices of oil and gold: a wavelet analysis
title_full	A three-way analysis of the relationship between the USD value and the prices of oil and gold: a wavelet analysis
title_fullStr	A three-way analysis of the relationship between the USD value and the prices of oil and gold: a wavelet analysis
title_full_unstemmed	A three-way analysis of the relationship between the USD value and the prices of oil and gold: a wavelet analysis
title_sort	three-way analysis of the relationship between the usd value and the prices of oil and gold: a wavelet analysis
publisher	AIMS Press
publishDate	2018
url	http://irep.iium.edu.my/64754/ http://irep.iium.edu.my/64754/ http://irep.iium.edu.my/64754/ http://irep.iium.edu.my/64754/1/64754_A%20three-way%20analysis%20of%20the%20relationship.pdf http://irep.iium.edu.my/64754/2/64754_A%20three-way%20analysis%20of%20the%20relationship_SCOPUS.pdf http://irep.iium.edu.my/64754/13/64754_A%20three-way%20analysis%20of%20the%20relationship%20between%20the%20USD%20value%20and%20the%20prices%20of%20oil%20and%20gold%20A%20wavelet%20analysis_WOS.pdf
first_indexed	2023-09-18T21:31:54Z
last_indexed	2023-09-18T21:31:54Z
_version_	1777412566238101504

A three-way analysis of the relationship between the USD value and the prices of oil and gold: a wavelet analysis

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