Title: Are the non-agricultural commodities markets efficient?: an ARDL model approach

Authors: Vaishali Jain

Addresses: Symbiosis Institute of Management Studies, Symbiosis International (Deemed University), Pune, India

Abstract: This study explores and provides evidence about the nature of short run causal relationship along with the promptness of adjustment towards long run equipoise between prices of crude oil, gold and USDINR exchange rates. The paper makes use of the run's test to study the randomness of the observations along with ADF, PP and KPSS test to check for the stationarity. ARDL model is used to study the causative association between the three variables. The study makes use of the day-to-day closing prices of the near month futures contracts on all the three assets for the purpose of analysis. Run's test and stationarity tests reveal that the market for three commodities is inefficient. The ARDL model shows a long run causal relationship between the crude, gold and USDINR exchange rates. The model also envisages a unidirectional causal association of gold with crude oil and exchange rates.

Keywords: commodity derivatives markets; autoregressive distributed lag model; autoregressive distributed lag; ARDL; cointegration; Granger causality; bounds testing.

DOI: 10.1504/IJPSPM.2021.117721

International Journal of Public Sector Performance Management, 2021 Vol.8 No.1/2, pp.157 - 177

Received: 25 Feb 2019
Accepted: 02 Jan 2020
Published online: 22 Sep 2021 *

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