Open Access

Table 4

VAR model estimation and model selection.

Endogenous variables Model 1 Model 2 Model 3
Oil Yes Yes Yes
Δ(Metal index) Yes Yes
Δ(Gold) Yes
Δ(US industrial production) Yes Yes Yes
Δ(3M. Int. Rate) Yes Yes Yes
Exogenous variable EUR/USD Yes Yes Yes
Optimal lag length 1 1 1
Causality result Ind. production → Oil**, Int. rate → Oil* Ind. production → Oil, Int. rate → Oil Oil → Metals Ind. production → Oil, Int. rate → Oil, Oil → Metals, Oil → Gold
*, **

Indicate statistically significant chi-square value at 5% and 10%, respectively level of significance.

Sample: 2005M05 2014M12. The optimal lag-length has been chosen based on the following information criteria LR: sequential modified LR test statistic, FPE: Final Prediction Error, AIC: Akaike Information Criterion, and SC: Schwarz Information Criterion.

Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.

Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.

Initial download of the metrics may take a while.