Les cahiers du CREAD
Volume 35, Numéro 1, Pages 77-101
2019-11-19

Financial Markets Interaction: An Application Of Probabilistic Markov Model And Ardl Approach



Authors : Fatih Chellai .

Abstract

IIn the context of the last world financial crisis, the interconnection between the different markets is arising as a serious problem ; which made a situation of uncertainty about the trend and direction of causality among these markets.This paper examined the causality and long-run relationships between Oil Price, Gold price and Dollar index using ARDL approach and a Probabilistic Markov Models over the period (1986-2016).The findings reveal that : i) A positive trend of Gold prices; which can take a big bull market ii) A symmetric dynamic structure of Oil prices iii)Stable, long-run relationship exists between Oil prices and Gold pricesiv)The evidence also suggests that the US dollar index as indicator has no effect on Oil prices. v) Model stability results also reveal that after incorporating the CUSUM and CUSUMSQ tests, Oil price function is stable over the period (1986-2016).

Keywords

Markov Models ; ARDL ; Gold ; Oil ; US dollar

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