This study aims to analyze and measure the nature of the relationship between crude oil price, EUR/USD exchange rate, and Gold price by using monthly data from January 1999 to October 2019. The result of data analysis using Auto-Regressive Distributed Lag (ARDL) shows that there exists a co-integration relationship between the price of crude oil in U.S. dollars per barrel (C.O.), and the interpreting variables in this study, represented in the Euro Dollar Exchange Rate (E.R.) and the Gold Price in U.S. dollars per ounce (G.P.). The relationship that happened only in a short-term one. Granger causality test result shows one-way causal relationship from the Euro/Dollar towards oil prices; that is, the variation in the exchange rate causes changes in oil prices. Also a unidirectional causal relationship has been found between the gold price and crude oil price. The relationship between the study variables is positive.
This paper estimates the asymmetric relationship between the crude oil market, stock market and COVID-19 pandemic in the case of KSA during the period of 15/03/2020 to 03/02/2021. Nonlinear and long-run asymmetric cointegration were utilized for comprehensive research on this topic. Our findings are as follows: positive and negative shocks to the COVID-19 pandemic reduce stock market. Moreover, positive shock to crude oil market increases stock market, but negative shock has a negative and insignificant effect. Based on the results, this study concludes with suitable policy prescription.
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