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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(Silver)
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.

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