Co-movements of Oil, Gold, the U.S. Dollar, and Stocks

Abstract

This paper examines the co-movements of several macro-variables in the world economy over a period of more than twenty years. Long-term co movements are examined by tracking the cointegration, common trend factor and the spill-er index over these variables (gold price, stock price, real exchange rate for dollar and the oil price of crude oil). Pre-minary examination suggests the possibility of cointegration among these variables indicating co-movements, although the spillover indices are found to be very small.