Abstract
This article assesses the cross-market linkages between commodities, stocks and bonds in a cointegration framework during 1993–2011.
Notes
Disclaimer: The views and opinions expressed in this article are those of the authors and do not necessarily reflect the views and opinions of BCV-AM.
1 It is also possible that the signs of the ECTs are symmetrically opposed in this setting so as to reflect flight-to-quality episodes,i.e. the price of gold rises during periods of declining equity markets and vice versa.
1 Stationarity is a central concern in time series analysis, which implies that the mean of the variable shall be time invariant (in the weak sense of stationarity). See Hamilton (Citation1996) for further reference.
2 Note, however, that the Johansen cointegration framework can be generalized to k variables.
3 Note that Lütkepohl et al. (Citation2004) develop their analysis in the context where can be represented as a VAR(p), whose components are at most and cointegrated with rank r.