Effects of the 2008 financial crisis on the linkages among the oil, gold, and platinum markets

Figures & data

Table 1. Summary of relevant literature

Publication year	Authors	Type of study	Appoach
2005	Capie et al	Studying whether gold is a safe haven against other markets.	Cross-correlations, ARCH, GARCH, EGARCH
2010	Baur and Lucey	Studying whether gold is a safe haven against other markets.	Asymmetric GARCH process
2010	Baur and Mcdermott	Studying whether gold is a safe haven against other markets.	GARCH
2010	Sari et al.	Investigating the relationship between gold and exchange rate.	ARDL
2011	Joy	Studying whether gold is a safe haven against other markets.	DCC–GARCH
2012	Le and Chang	Volatility aspects of the relationship between gold and crude oil.	Multivariate VAR
2013	Guimaraes	Studying whether gold is a safe haven against other markets.	Linear rregression
2013	Reboredo	Examining the oil and gold relationship.	Copula
2015	Bampinas and Panagiotidis	Examining the oil and gold relationship.	Granger causality test
2015	Bildirici and Turkmen	Examining the oil and gold relationship.	Nonlinear ARDL
2015	Charles et al.	Volatility aspects of the relationship between gold and crude oil.	Automatic variance ratio and portmanteau tests
2015	Tiwari and Sahadudheen	Volatility aspects of the relationship between gold and crude oil.	GARCH, EGARCH
2016	Raza et al.	Volatility aspects of the relationship between gold and crude oil.	Nonlinear ARDL
2016	Yaya et al.	Volatility aspects of the relationship between gold and crude oil	Constant Conditional Correlation (CCC) modelling,VARMA-MGARCH
2017	Iqbal	Studying whether gold is a safe haven against other markets, investigating the relationship between gold and exchange rate.	EGARCH
2017	Kumar	Examining the oil and gold relationship.	Nonlinear ARDL
2018	Tursoy and Faisal	Examining the oil and gold relationship.	ARDL bounds testing approach
2019	Liao and Goo	Studying whether gold is a safe haven against other markets.	GARCH, GJR-GARCH, Hybrid Momentum TAR-GARCH (HMTAR-GARCH)

Figure 1. Crude oil and precious metal log prices.

Table 2. Unit root tests

	Level				First differences
	ADF	PP	KPSS	LS	ADF	PP	KPSS	LS
Entire period (2001:1–2019:4)
Brent	−2.050	−1.988	0.833 ***	−3.342	−11.050 ***	−10.990 ***	0.135	−10.948 ***
WTI	−2.280	−2.070	0.729 **	−3.597	−2.280 ***	−10.346 ***	0.112	−10.117 ***
Gold	−2.165	−2.093	1.629 ***	−3.633	−12.959 ***	−12.935 ***	0.528 **	−13.133 ***
Platinum	−2.010	−1.852	0.727 **	−4.454 **	−10.413 ***	−10.365 ***	0.189	−10.519 ***
Before the finanacial crisis (2001:1–2008:8)
Brent	0.004	0.266	1.202 ***	−3.342	−4.380 ***	−8.953 ***	0.156	−10.948 ***
WTI	0.309	0.353	1.189 ***	−3.597	−6.017 ***	−7.733 ***	0.188	−10.117 ***
Gold	0.728	−0.081	1.217 ***	−3.633	−4.634 ***	−9.422 ***	0.065	−13.133 ***
Platinum	−0.255	−0.428	1.174 ***	−4.454 **	−5.317 ***	−6.527 ***	0.102	−10.519 ***
After the finanacial crisis (2008:9–2019:4)
Brent	−2.333	−2.091	0.423 *	−3.173	−7.429 ***	−7.074 ***	0.100	−7.935 ***
WTI	−2.676 *	−2.409	0.501 **	−3.511	−7.645 ***	−7.291 ***	0.119	−7.948 ***
Gold	−2.583 *	−2.352	0.220	−2.811	−9.212 ***	−9.183 ***	0.383 *	−8.483 ***
Platinum	−1.669	−1.344	0.845 ***	−3.368	−8.236 ***	−8.249 ***	0.076	−9.644 ***

The ADF, PP, and KPSS unit root tests include only a constant. The Lee-Strazicich (LS) test has both constant and trend with one structural break in the test model. ***, **, * denote significance at 1%, 5%, 10%.

Table 3. Bivariate cointegration tests

Variables	H0: rank = r	Trace test	Max test	Granger Causality tests	Chi-sq test
Entire period (2001:1–2019:4)
Brent vs Gold	r = 0	20.33 **	12.52	ΔBrent ≠→ ΔGold	0.02
	r ≤ 1	7.81 *	7.81 *	ΔGold ≠→ ΔBrent	1.57
Brent vs Platinum	r = 0	14.50	9.85	ΔBrent ≠→ ΔPlatinum	0.86
	r ≤ 1	4.65	4.65	ΔPlatinum ≠→ ΔBrent	12.74 ***
WTI vs Gold	r = 0	22.25	13.05	ΔWTI ≠→ ΔGold	0.04
	r ≤ 1	9.20	9.20 **	ΔGold ≠→ ΔWTI	3.00 *
WTI vs Platinum	r = 0	20.78 **	16.16 **	ΔWTI ≠→ ΔPlatinum	4.38 **
	r ≤ 1	4.61	4.61	ΔPlatinum ≠→ ΔWTI	24.59 ***
WTI vs Brent	r = 0	22.80 **	17.73 **	ΔWTI ≠→ ΔBrent	0.53
	r ≤ 1	5.07	5.07	ΔBrent ≠→ ΔWTI	3.39 *
Gold vs Platinum	r = 0	21.38 **	15.94 **	ΔGold ≠→ ΔPlatinum	0.09
	r ≤ 1	5.45	5.45	ΔPlatinum ≠→ ΔGold	0.20
Before the financial crisis (2001:1–2008:8)
Brent vs Gold	r = 0	18.53 *	10.37	ΔBrent ≠→ ΔGold	0.30
	r ≤ 1	8.16 *	8.16 *	ΔGold ≠→ ΔBrent	5.93 **
Brent vs Platinum	r = 0	13.12	11.26	ΔBrent ≠→ ΔPlatinum	0.03
	r ≤ 1	1.85	1.85	ΔPlatinum ≠→ ΔBrent	10.44 ***
WTI vs Gold	r = 0	18.38 *	9.95	ΔWTI ≠→ ΔGold	0.16
	r ≤ 1	8.43 *	8.43 *	ΔGold ≠→ ΔWTI	5.89 **
WTI vs Platinum	r = 0	12.98	11.08	ΔWTI ≠→ ΔPlatinum	0.07
	r ≤ 1	1.90	1.90	ΔPlatinum ≠→ ΔWTI	10.86 ***
WTI vs Brent	r = 0	15.52	12.84	ΔWTI ≠→ ΔBrent	0.91
	r ≤ 1	2.68	2.68	ΔBrent ≠→ ΔWTI	0.22
Gold vs Platinum	r = 0	21.45 **	11.69	ΔGold ≠→ ΔPlatinum	11.88 ***
	r ≤ 1	9.76 **	9.76 **	ΔPlatinum ≠→ ΔGold	0.91
After the financial crisis (2008:9–2019:4)
Brent vs Gold	r = 0	19.26 *	14.65 *	ΔBrent ≠→ ΔGold	0.27
	r ≤ 1	4.61	4.61	ΔGold ≠→ ΔBrent	14.71 ***
Brent vs Platinum	r = 0	7.50	4.83	ΔBrent ≠→ ΔPlatinum	0.52
	r ≤ 1	2.67	2.67	ΔPlatinum ≠→ ΔBrent	6.38 ***
WTI vs Gold	r = 0	20.12 *	15.23 *	ΔWTI ≠→ ΔGold	0.40
	r ≤ 1	4.89	4.89	ΔGold ≠→ ΔWTI	12.79 ***
WTI vs Platinum	r = 0	11.91	8.91	ΔWTI ≠→ ΔPlatinum	0.50
	r ≤ 1	3.01	3.01	ΔPlatinum ≠→ ΔWTI	7.22 ***
WTI vs Brent	r = 0	20.94 **	17.78 **	ΔWTI ≠→ ΔBrent	4.83 **
	r ≤ 1	3.16	3.16	ΔBrent ≠→ ΔWTI	9.01 ***
Gold vs Platinum	r = 0	15.31	11.45	ΔGold ≠→ ΔPlatinum	0.06
	r ≤ 1	3.86	3.86	ΔPlatinum ≠→ ΔGold	1.46

The test is performed with the level data having no deterministic trends but the cointegrating equations have intercepts. ***, **, * denotes significance at 1%, 5%, and 10%.

Figure 2. Recursive plots of Johansen’s trace statistic. The recursive trace statistics are scaled to unity by their 5% critical values. The trace statistics above unity imply a rejection of the null hypothesis of rank zero, suggesting that the two series are cointegrated (r = 1).

Table 4. Gregory-Hansen cointegration tests

	ADF		Zt		Zα
Variables	test statistic	Break point	test statistic	Break point	test statistic	Break point
Entire period (2001:1–2019:4)
Brent vs Gold	−4.61	May-08	−4.03	Jun-08	−31.98	Jun-08
Brent vs Platinum	−4.02	Oct-06	−3.90	Jun-16	−29.75	Jun-16
WTI vs Gold	−4.73 *	May-08	−4.11	Feb-09	−32.51	Feb-09
WTI vs Platinum	−4.61	Jun-16	−4.48	Jun-16	−38.84	Jun-16
WTI vs Brent	−6.02 ***	Feb-11	−6.14 ***	Oct-10	−64.35	Oct-10
Gold vs Platinum	−4.92 *	Sep-03	−4.22	Sep-03	−34.12	Sep-03
Before the financial crisis (2001:1–2008:8)
Brent vs Gold	−3.62	Sep-05	−3.74	Sep-05	−24.52	Sep-05
Brent vs Platinum	−3.58	Aug-04	−3.61	Aug-04	−18.59	Aug-04
WTI vs Gold	−3.58	Sep-05	−3.69	Sep-05	−23.91	Sep-05
WTI vs Platinum	−3.53	Aug-04	−20.27	Jul-04	−3.58	Jul-04
WTI vs Brent	−6.21 ***	Nov-02	−6.26 ***	Nov-02	−47.72 *	Nov-02
Gold vs Platinum	−3.15	Mar-03	−3.30	Apr-03	−15.89	Aug-03
After the financial crisis (2008:9–2019:4)
Brent vs Gold	−3.63	Aug-13	−3.53	Jul-13	−20.13	Jul-13
Brent vs Platinum	−4.92 *	Oct-17	−5.01 **	Oct-17	−37.84	Oct-17
WTI vs Gold	−3.68	Aug-13	−3.53	Jul-13	−19.70	Jul-13
WTI vs Platinum	−5.34 **	Jun-17	−4.98 *	Oct-17	−37.21	Oct-17
WTI vs Brent	−4.10	Feb-11	−4.25	Feb-11	−32.23	Feb-11
Gold vs Platinum	−4.74 *	Mar-15	−4.46	Mar-15	−32.38	Mar-15

The 1%, 5%, 10% critical values ADF and Z_t test statistics are −5.45, −4.99, −4.72, and those for the Z_α are −57.28, −47.96, −43.22 respectively (Gregory & Hansen, 1996). ***, **, * denote significance at 1%, 5%, and 10%.

Gregory, A. W., & Hansen, B. E. (1996). Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics, 70(1), 99–126. https://doi.org/10.1016/0304-4076(69)41685-7

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