FINANCIAL MARKETS INTERACTION AN APPLICATION OF PROBABILISTIC MARKOV MODEL AND ARDL APPROACH

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Fatih CHELLAI Naïma BOUDRISSA

Résumé

In the context of the last world financial crisis, the interconnection between the different markets is arising as a serious problem ; which made a situation of uncertainty about the trend and direction of causality among these markets.This paper examined the causality and long-run relationships between Oil Price, Gold price and Dollar index using ARDL approach and a Probabilistic Markov Models over the period (1986-2016).The findings reveal that: i) A positive trend of Gold prices; which can take a big bull market . ii) A symmetric dynamic structure of Oil prices . iii) Stable, long-run relationship exists between Oil prices and Gold prices. iv) The evidence also suggests that the US dollar index as

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