Matteo Antonio Scrugli
Dinamiche di pricing di oro, petrolio e tasso di cambio Euro/Dollaro nelle logiche operative di portafoglio
Zedda, StefanoUltimo
2018-01-01
Abstract
Gold and oil have always had a central role within the international economy. Over the years, their prices have been influenced by different events, especially during the financial crisis, which caused an excess of volatility in the relative markets. This draw attention to many investors and, above all, speculators. The introduction of Euro, in 1999, added the Euro-Dollar exchange rate as a further variable to consider when operators invest on these commodities. The aim of this paper is to analyse the mutual relationship between gold and oil prices and the Euro-Dollar exchange rate in the time period 2004-2014. Possible links between these variables could support also companies focused on the mining and processing of these commodities, and, in this way, support their needs to hedge their positions. The study is carried out by means of a VAR (Vector Auto Regression) model. Results show some significant statistical links between the three variables, both considering high frequency data (i.e. daily data) and low frequency data (i.e. monthly data). Finally, the findings of the daily analysis suggest that oil prices can give significant info on the expected value of the exchange rate, supporting market operators’ choices and their effective speculative strategies.File | Dimensione | Formato | |
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