Time-varying co-movement of the prices of three metals and oil: Evidence from recursive cointegration

The aim of this paper is to study the continuous and time-varing long-run relationships among three metals' prices, oil price, and the US dollar exchange rate. The recursive cointegration is applied to trace the dynamic linkages. The empirical evidence is follows. First, the results of the recursive trace statistics display one significant and strong conitegration among the gold price and the other variables over much of the period after 1995, and that the European sovereign debt crisis caused a closer linkage from 2010 to 2012. Second, rising gold prices increase silver and copper prices in the long run and are also a long-run leading indicator of silver and copper prices, but their function as a leading signal becomes unstable and weaker after the 2008-2009 global financial crisis. Finally, the long-run relationship between oil and gold prices is an inverse interaction before 2003, but then turns uncertain after 2003, and there is no long-run causality between the two prices.