Table 3.
Results of the VAR model (segment B: December 1, 2019, to May 10, 2020).
| Coefficient | Std. Error | P-values | Coefficient | Std. Error | P-values | ||
|---|---|---|---|---|---|---|---|
| Mean equation of GOLD (1) | Mean equation of Beverages (3) | ||||||
| ψ1,1 | 0.13431825 | 0.05340982 | 0.011907949 | ψ3,1 | −0.2698256 | 0.11832684 | 0.02258746 |
| ψ1,2 | −0.0212304 | 0.05429481 | 0.695782297 | ψ3,2 | 0.11336057 | 0.12028748 | 0.34598088 |
| ψ1,3 | −0.0691169 | 0.03579603 | 0.053501242 | ψ3,3 | 0.02090481 | 0.07930434 | 0.79208636 |
| ψ1,4 | −0.1237191 | 0.02718473 | 0.000000000 | ψ3,4 | −0.2053252 | 0.06022643 | 0.00065149 |
|
ψ1,0 |
0.07062292 |
0.07745578 |
0.361882557 |
ψ3,0 |
0.20601155 |
0.17159947 |
0.22993076 |
| Mean equation of Wheat (2) | Mean equation of S&P 500 (4) | ||||||
| Coefficient | P-Values | Coefficient | P-Values | ||||
| ψ2,1 | 0.04556561 | 0.08417355 | 0.588280667 | ψ4,1 | 0.0895458 | 0.08902059 | 0.31446372 |
| ψ2,2 | −0.0314454 | 0.08556828 | 0.713254501 | ψ4,2 | 0.02782379 | 0.09049563 | 0.75849321 |
| ψ2,3 | −0.0630312 | 0.05641432 | 0.263870201 | ψ4,3 | 0.00916501 | 0.05966287 | 0.87791461 |
| ψ2,4 | 0.01603922 | 0.04284296 | 0.070812727 | ψ4,4 | −0.4238919 | 0.04531002 | 0 |
| ψ2,0 | −0.1370524 | 0.12206983 | 0.261548955 | ψ4,0 | 0.10978993 | 0.12909908 | 0.39508519 |
See notes to Table 2.