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.