Skip to main content
. 2020 Jul 28;38:101703. doi: 10.1016/j.frl.2020.101703

Table 3.

Linear and non-linear Granger causality

Linear test Non linear test
WTI running to Gold 0.3674 0.08763**
Gold running to WTI 0.8051 0.17711

Notes: Linear and non-linear Granger causality tests applied the the daily WTI and gold returns from January 4, 2010, to May 4, 2020

***, **,* indicate statistical significance at the 10%, 5% and 1% levels respectively.

Linear Test: p_value linear causality test of Granger (1969). Non Linear Test: p_value of Non linear and non parametric test of Diks and Panchenko (2005, 2006).